Victor Zviarovich

Brunel University London

Kingston Lane

Uxbridge, Middlesex UB8 3PH

United Kingdom

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Enhanced Indexation Based on Second-Order Stochastic Dominance

Number of pages: 19 Posted: 07 Mar 2011
Diana Roman, Gautam Mitra and Victor Zviarovich
Brunel University London - School of Information Systems, Computing and Mathematics, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London
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Abstract:

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index tracking, enhanced indexation, stochastic dominance, backtesting