Computational finance is an emerging application field of metaheuristic algorithms. In
particular, these optimisation methods are becoming the solving approach alternative when …

Portfolio optimization can be roughly categorized as the mean-variance approach and the
exponential growth rate approach based on different theoretical foundations, trading logics …

Portfolio theory was first developed by Harry Markowitz in the 1950s. His work, which was
extended by several researchers, provides the foundation of the so-called modern portfolio …

The enhanced indexation constructs tracking portfolios to outperform the benchmark index
without incurring additional downside risk. Previous studies only consider optimizing the …

Index funds aim to track the performance of a financial index, such as, eg, the Standard &
Poor's 500 index. Index funds have become popular because they offer attractive risk-return …

Both stochastic dominance and Omegaratio can be used to examine whether the market is
efficient, whether there is any arbitrage opportunity in the market and whether there is any …

A robust optimization model to find a stable investment portfolio is proposed under twofold
uncertainty sources: the random nature of returns for a given economic scenario which is in …

The classical approaches to optimal portfolio selection call for finding a feasible portfolio that
optimizes a risk measure, or a gain measure, or a combination thereof by means of a utility …

Portfolio selection models based on second-order stochastic dominance (SSD) have the
advantage of providing portfolios that reflect the behavior of risk-averse investors without the …

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 …