2 papers
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.PM2026
Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
N. Meade, C. A. Valle, J. E. Beasley
Index trackers are important passive investments offering the return and risk of the market encapsulated by the index, the largest US index tracker was valued at $900 billion in ea…