Purpose This paper aims to perform an analytical analysis on portfolio allocation when a
tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio …

An index fund is a portfolio designed to mimic the behavior of a stock market index. These
broad stock market indexes are recognized benchmarks for institutional portfolios. Also, the …

Publisher Summary This chapter provides an overview of the recent developments
concerning methods of relative portfolio optimization. Models of relative portfolio …

The practical application of the Markowitz portfolio optimisation framework faces the problem
of noise when historical estimates are used as input parameters. In this paper I propose a …

Introduction petroleum marketers over an 11 year period. The optimisation process involves
the introduction of the Elton-Gruber-Padberg approach which uses the simple risk adjusted …

Abstract [eng] Theoretical part describes the review of investment portfolio conception,
principals of investment, classification of funds, advantages and disadvantages of …