Recently, numerous investors have shifted from active strategies to passive strategies
because the passive strategy approach affords stable returns over the long term. Index …

Portfolio selection is a key issue in the business world and financial fields. This article
presents a new decision making method of portfolio optimization (PO) issues in different risk …

Abstract Accepted by: Giorgio Consigli The passive management approach offers
conservative investors a way to reduce risk concerning the market. This investment strategy …

The financial crisis and the market uncertainty of the last years have pointed out the
shortcomings of traditional portfolio theory to adequately manage the different sources of risk …

In this paper, we apply the lasso-type regression to solve the index tracking (IT) and the long-
short investing strategies. In both cases, our objective is to exploit the mean-reverting …

We consider the problem of index tracking whose goal is to construct a portfolio that
minimizes the tracking error between the returns of a benchmark index and the tracking …

We take a standard index tracking (IT) optimization model and include seven risk measures
as constraints, as we seek to estimate portfolios that not only aim at tracking the market …

This study describes improved index-tracking methods to replicate the target index's market
performance in a high-dimensional sparse linear regression with nonnegative constraints on …

Enhanced index-tracking funds aim to achieve a small target excess return over a given
financial benchmark index with minimum additional risk relative to this index, ie, a minimum …

Designed as remedies for uncertain parameters and tiny optimal weights in the portfolio
selection problem, we consider a class of distributionally robust portfolio optimization …