Enhanced indexation using both equity assets and index options
Fuente:
arXiv
Saved in:
| Main Authors: | Valle, Cristiano Arbex, Beasley, John E |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints
by: Valle, Cristiano Arbex, et al.
Published: (2024)
by: Valle, Cristiano Arbex, et al.
Published: (2024)
Reinforcement Learning Methods for the Stochastic Optimal Control of an Industrial Power-to-Heat System
by: Pilling, Eric, et al.
Published: (2024)
by: Pilling, Eric, et al.
Published: (2024)
Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024)
by: Valle, Cristiano Arbex
Published: (2024)
Numerical analysis of American option pricing in a two-asset jump-diffusion model
by: Zhou, Hao, et al.
Published: (2024)
by: Zhou, Hao, et al.
Published: (2024)
Dimension-Reduced Cosine Expansions via Tensor Decomposition: Methodology and Applications to Credit Exposure Quantification
by: Mast, Gijs, et al.
Published: (2023)
by: Mast, Gijs, et al.
Published: (2023)
Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)
by: Bianchetti, Marco, et al.
Published: (2025)
On conditioning and consistency for nonlinear functionals
by: Berton, Edoardo, et al.
Published: (2024)
by: Berton, Edoardo, et al.
Published: (2024)
Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport
by: Engström, Linn, et al.
Published: (2024)
by: Engström, Linn, et al.
Published: (2024)
Fourier Neural Network Approximation of Transition Densities in Finance
by: Du, Rong, et al.
Published: (2023)
by: Du, Rong, et al.
Published: (2023)
Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
by: Cacciamani, Federico, et al.
Published: (2026)
by: Cacciamani, Federico, et al.
Published: (2026)
Jump detection in financial asset prices that exhibit U-shape volatility
by: Mancini, Cecilia
Published: (2025)
by: Mancini, Cecilia
Published: (2025)
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
by: Wang, Yike, et al.
Published: (2025)
by: Wang, Yike, et al.
Published: (2025)
On stochastic control problems with higher-order moments
by: Wang, Yike, et al.
Published: (2024)
by: Wang, Yike, et al.
Published: (2024)
Nash Equilibria in Greenhouse Gas Offset Credit Markets
by: Welsh, Liam, et al.
Published: (2024)
by: Welsh, Liam, et al.
Published: (2024)
Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)
by: Krach, Florian, et al.
Published: (2024)
Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization
by: Wang, Ya-Juan, et al.
Published: (2026)
by: Wang, Ya-Juan, et al.
Published: (2026)
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
by: Fießinger, Felix, et al.
Published: (2025)
by: Fießinger, Felix, et al.
Published: (2025)
Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)
by: Itkin, David, et al.
Published: (2024)
QEGS: A Mathematica Package for the Analysis of Quantum Extended Games
by: Grzanka, Krzysztof, et al.
Published: (2025)
by: Grzanka, Krzysztof, et al.
Published: (2025)
Reinforcement Learning Pair Trading: A Dynamic Scaling approach
by: Yang, Hongshen, et al.
Published: (2024)
by: Yang, Hongshen, et al.
Published: (2024)
Random matching in balanced bipartite graphs: The (un)fairness of draw mechanisms used in sports
by: Csató, László
Published: (2023)
by: Csató, László
Published: (2023)
Forecasting the U.S. Treasury Yield Curve: A Distributionally Robust Machine Learning Approach
by: Liu, Jinjun, et al.
Published: (2026)
by: Liu, Jinjun, et al.
Published: (2026)
Strictly monotone mean-variance preferences with applications to portfolio selection
by: Wang, Yike, et al.
Published: (2024)
by: Wang, Yike, et al.
Published: (2024)
Fair Risk Optimization of Distributed Systems
by: Almen, Aray, et al.
Published: (2025)
by: Almen, Aray, et al.
Published: (2025)
A lexicographically optimal completion for pairwise comparison matrices with missing entries
by: Ágoston, Kolos Csaba, et al.
Published: (2022)
by: Ágoston, Kolos Csaba, et al.
Published: (2022)
On the coincidence of optimal completions for small pairwise comparison matrices with missing entries
by: Csató, László, et al.
Published: (2022)
by: Csató, László, et al.
Published: (2022)
State spaces of multifactor approximations of nonnegative Volterra processes
by: Jaber, Eduardo Abi, et al.
Published: (2024)
by: Jaber, Eduardo Abi, et al.
Published: (2024)
Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)
by: Liang, Zongxia, et al.
Published: (2024)
Evaluating utility in synthetic banking microdata applications
by: Caceres, Hugo E., et al.
Published: (2024)
by: Caceres, Hugo E., et al.
Published: (2024)
A New Approach for Multicriteria Assessment in the Ranking of Alternatives Using Cardinal and Ordinal Data
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2025)
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2025)
Gaining efficiency in deep policy gradient method for continuous-time optimal control problems
by: Fahim, Arash, et al.
Published: (2025)
by: Fahim, Arash, et al.
Published: (2025)
Virtual Gap Analysis procedures for Multi-Criteria Decision-Making and Efficiency Analysis Problems
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2026)
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2026)
Algorithms for Multi-Criteria Decision-Making and Efficiency Analysis Problems
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2024)
by: Liu, Fuh-Hwa Franklin, et al.
Published: (2024)
Index-Tracking Portfolio Construction and Rebalancing under Bayesian Sparse Modelling and Uncertainty Quantification
by: Roxanas, Dimitrios
Published: (2025)
by: Roxanas, Dimitrios
Published: (2025)
The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)
by: Kühn, Christoph
Published: (2023)
Framework for asset-liability management with fixed-term securities
by: Havrylenko, Yevhen
Published: (2025)
by: Havrylenko, Yevhen
Published: (2025)
Voting Participation and Engagement in Blockchain-Based Fan Tokens
by: Ante, Lennart, et al.
Published: (2024)
by: Ante, Lennart, et al.
Published: (2024)
A clustering approach for pairwise comparison matrices
by: Ágoston, Kolos Csaba, et al.
Published: (2024)
by: Ágoston, Kolos Csaba, et al.
Published: (2024)
Reducing the non-uniformity of the group draw in sports tournaments
by: Csató, László
Published: (2021)
by: Csató, László
Published: (2021)
Efficient and accurate simulation of the stochastic-alpha-beta-rho model
by: Choi, Jaehyuk, et al.
Published: (2024)
by: Choi, Jaehyuk, et al.
Published: (2024)
Similar Items
-
Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints
by: Valle, Cristiano Arbex, et al.
Published: (2024) -
Reinforcement Learning Methods for the Stochastic Optimal Control of an Industrial Power-to-Heat System
by: Pilling, Eric, et al.
Published: (2024) -
Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024) -
Numerical analysis of American option pricing in a two-asset jump-diffusion model
by: Zhou, Hao, et al.
Published: (2024) -
Dimension-Reduced Cosine Expansions via Tensor Decomposition: Methodology and Applications to Credit Exposure Quantification
by: Mast, Gijs, et al.
Published: (2023)