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dc.contributor.author
Kang, Zhilin
dc.contributor.author
Yao, Haixiang
dc.contributor.author
Li, Xingyi
dc.contributor.author
Li, Zhongfei
dc.date.accessioned
2022-05-23T15:20:09Z
dc.date.available
2022-05-22T04:26:50Z
dc.date.available
2022-05-23T15:20:09Z
dc.date.issued
2022-09-01
dc.identifier.issn
0957-4174
dc.identifier.other
10.1016/j.eswa.2022.117110
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/548462
dc.description.abstract
Enhanced index tracking (EIT) is a popular form of investment strategy, which seeks to create a portfolio to generate excess return relative to a given benchmark index without purchasing all the index components. In this paper we develop an EIT model with mixture distribution under a lower partial moment (LPM) framework. Furthermore, we formulate the EIT problem as a robust and tractable model by integrating uncertain information on the proportions of Gaussian mixture distribution specified by the ϕ-divergence. By applying Lagrange duality theory, we demonstrate that the EIT problem on the basis of the worst-case LPMs of degree 1 and 2 can be transformed into a mathematically tractable optimization problem. Out-of-sample experiments using the FTSE100 and S&P500 data sets show that the portfolios based on our proposed model exhibit better performance than those from the benchmark index in most cases.
en_US
dc.language.iso
en
en_US
dc.publisher
Elsevier
en_US
dc.subject
Enhanced indexing
en_US
dc.subject
Lower partial moment
en_US
dc.subject
Mixture model
en_US
dc.subject
Robust optimization
en_US
dc.subject
ϕ-divergence
en_US
dc.subject
Sortino index
en_US
dc.title
Robust enhanced index tracking problem with mixture of distributions
en_US
dc.type
Journal Article
dc.date.published
2022-04-22
ethz.journal.title
Expert Systems with Applications
ethz.journal.volume
201
en_US
ethz.journal.abbreviated
Expert syst. appl.
ethz.pages.start
117110
en_US
ethz.size
15 p.
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Amsterdam
en_US
ethz.publication.status
published
en_US
ethz.date.deposited
2022-05-22T04:26:59Z
ethz.source
SCOPUS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2022-05-23T15:20:18Z
ethz.rosetta.lastUpdated
2023-02-07T03:13:06Z
ethz.rosetta.versionExported
true
ethz.COinS
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