Following the research strands of enhanced index tracking and of portfolio performance measures optimization, we propose to choose, among the feasible asset portfolios of a given market, the one that maximizes the geometric mean of the differences between its risk and gain and those of a suitable reference benchmark, such as the market index. This approach, which has a peculiar geometric interpretation and enjoys remarkable features, provides the efficient portfolio that dominates the largest amount of portfolios dominating the reference benchmark index. Preliminary empirical results highlight good out-of-sample performances of our approach compared with those of the market index.

Cesarone, F., Lampariello, L., Sagratella, S. (2019). A risk-gain dominance maximization approach to enhanced index tracking. FINANCE RESEARCH LETTERS, 29, 231-238 [10.1016/j.frl.2018.08.001].

A risk-gain dominance maximization approach to enhanced index tracking

Francesco Cesarone;Lorenzo Lampariello;
2019-01-01

Abstract

Following the research strands of enhanced index tracking and of portfolio performance measures optimization, we propose to choose, among the feasible asset portfolios of a given market, the one that maximizes the geometric mean of the differences between its risk and gain and those of a suitable reference benchmark, such as the market index. This approach, which has a peculiar geometric interpretation and enjoys remarkable features, provides the efficient portfolio that dominates the largest amount of portfolios dominating the reference benchmark index. Preliminary empirical results highlight good out-of-sample performances of our approach compared with those of the market index.
Cesarone, F., Lampariello, L., Sagratella, S. (2019). A risk-gain dominance maximization approach to enhanced index tracking. FINANCE RESEARCH LETTERS, 29, 231-238 [10.1016/j.frl.2018.08.001].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/338271
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