Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2026
Subset second-order stochastic dominance for enhanced indexation with diversification enforced by sector constraints
Cristiano Arbex Valle, John E Beasley, Nigel Meade
In this paper we apply second-order stochastic dominance (SSD) to the problem of enhanced indexation with asset subset (sector) constraints. The problem we consider is how to const…
q-fin.CP2026
Enhanced indexation using both equity assets and index options
Cristiano Arbex Valle, John E Beasley
In this paper we consider how we can include index options in enhanced indexation. We present the concept of an \enquote{option strategy} which enables us to treat options as an ar…