We consider the problem of reproducing the performance of a stock market index, but
without purchasing all of the stocks that make up the index, index tracking. We also consider …

In 1952, Markowitz published his famous paper on portfolio selection that transformed the
field of finance. Although over 65 years have passed since then, the mean-variance model …

Goal Programming (GP) is the most widely used approach in the field of multiple criteria
decision making that enables the decision maker to incorporate numerous variations of …

Modern performance measures differ from the classical ones since they assess the
performance against a benchmark and usually account for asymmetry in return distributions …

The index tracking problem is the problem of determining a portfolio of assets whose
performance replicates, as closely as possible, that of a financial market index chosen as …

The motivation for writing this book came from our years of previous research on multicriteria
portfolio management. This book offers a unified methodological framework for portfolio …

This paper proposes a robust optimization model for the portfolio selection problem that
uses a goal programming (GP) approach. In GP, decision makers can achieve more than …

Index tracking (IT) and enhanced indexing (EI) are two forms of investment strategies which
revolve around the movements of the benchmark index. While IT aims to match the …

Enhanced index tracking is a popular strategy in portfolio management that focuses on
adding reliable value relative to the index on the basis of mimicking the behavior of the …

This article investigates the out-of-sample performance of cointegration and correlation
methods for index tracking (IT) and enhanced indexing (EIT) strategies applied to Brazilian …