Erschienen:
Editorial Universidad de Almeria, 2020
Erschienen in:
Studies of Applied Economics, 38 (2020) 1
Sprache:
Nicht zu entscheiden
DOI:
10.25115/eae.v38i1.2955
ISSN:
1697-5731;
1133-3197
Entstehung:
Anmerkungen:
Beschreibung:
We study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of second order cone programs. Finally, we test the models on EUROSTOXX 50 dataset. We compare the solutions of the robust models with nominal models to show the effect of uncertainty, and compare the performance of different strategies in terms of Sharpe ratio.