Matches in SemOpenAlex for { <https://semopenalex.org/work/W4316511298> ?p ?o ?g. }
- W4316511298 endingPage "113125" @default.
- W4316511298 startingPage "113125" @default.
- W4316511298 abstract "The enhanced index tracking is an effective method for portfolio optimization that focuses on imitating the behavior of a special benchmark and achieving an excess return. In addition, uncertainty and randomness are two intrinsic attributes of real world systems. In this paper, we study an uncertain random enhanced index tracking for portfolio optimization with parameter estimation and hypothesis test based on chance theory, which combines uncertainty theory and probability theory. First, we formulate an uncertain random mean–variance enhanced index tracking model including both random risky securities and uncertain risky securities. Then the presented model is transformed into a quadratic programming problem and the analytical solutions are derived for some special cases. Furthermore, the uncertain hypothesis test is applied to examine the correctness of the unknown parameters solved by uncertain parameter estimation. Finally, three numerical simulations are presented for showing the applicability of the formulated models and the effectiveness of the enhanced index tracking strategies." @default.
- W4316511298 created "2023-01-16" @default.
- W4316511298 creator A5010822926 @default.
- W4316511298 creator A5041668369 @default.
- W4316511298 date "2023-03-01" @default.
- W4316511298 modified "2023-09-25" @default.
- W4316511298 title "Uncertain random enhanced index tracking for portfolio selection with parameter estimation and hypothesis test" @default.
- W4316511298 cites W1975060150 @default.
- W4316511298 cites W1982084066 @default.
- W4316511298 cites W2000063803 @default.
- W4316511298 cites W2003380963 @default.
- W4316511298 cites W2032045595 @default.
- W4316511298 cites W2048254210 @default.
- W4316511298 cites W2054535840 @default.
- W4316511298 cites W2069134058 @default.
- W4316511298 cites W2070156190 @default.
- W4316511298 cites W2074339547 @default.
- W4316511298 cites W2080466441 @default.
- W4316511298 cites W2093905688 @default.
- W4316511298 cites W2099664342 @default.
- W4316511298 cites W2131498009 @default.
- W4316511298 cites W2137724915 @default.
- W4316511298 cites W2170539229 @default.
- W4316511298 cites W2176146775 @default.
- W4316511298 cites W2468759877 @default.
- W4316511298 cites W2617506350 @default.
- W4316511298 cites W2790100028 @default.
- W4316511298 cites W2790357409 @default.
- W4316511298 cites W2799600427 @default.
- W4316511298 cites W2802094691 @default.
- W4316511298 cites W2852697398 @default.
- W4316511298 cites W2946378018 @default.
- W4316511298 cites W2959374936 @default.
- W4316511298 cites W3009992161 @default.
- W4316511298 cites W3023300811 @default.
- W4316511298 cites W3132993214 @default.
- W4316511298 cites W3139167960 @default.
- W4316511298 cites W3177509101 @default.
- W4316511298 cites W3181864547 @default.
- W4316511298 cites W3206279412 @default.
- W4316511298 cites W4206037288 @default.
- W4316511298 cites W4224911974 @default.
- W4316511298 cites W4226462892 @default.
- W4316511298 cites W4281249353 @default.
- W4316511298 cites W4288695091 @default.
- W4316511298 cites W4309579542 @default.
- W4316511298 doi "https://doi.org/10.1016/j.chaos.2023.113125" @default.
- W4316511298 hasPublicationYear "2023" @default.
- W4316511298 type Work @default.
- W4316511298 citedByCount "1" @default.
- W4316511298 countsByYear W43165112982023 @default.
- W4316511298 crossrefType "journal-article" @default.
- W4316511298 hasAuthorship W4316511298A5010822926 @default.
- W4316511298 hasAuthorship W4316511298A5041668369 @default.
- W4316511298 hasConcept C10138342 @default.
- W4316511298 hasConcept C105795698 @default.
- W4316511298 hasConcept C11413529 @default.
- W4316511298 hasConcept C125112378 @default.
- W4316511298 hasConcept C126255220 @default.
- W4316511298 hasConcept C13280743 @default.
- W4316511298 hasConcept C136764020 @default.
- W4316511298 hasConcept C154945302 @default.
- W4316511298 hasConcept C15744967 @default.
- W4316511298 hasConcept C162324750 @default.
- W4316511298 hasConcept C183356978 @default.
- W4316511298 hasConcept C185798385 @default.
- W4316511298 hasConcept C19417346 @default.
- W4316511298 hasConcept C202655437 @default.
- W4316511298 hasConcept C205649164 @default.
- W4316511298 hasConcept C2775924081 @default.
- W4316511298 hasConcept C2775936607 @default.
- W4316511298 hasConcept C2777382242 @default.
- W4316511298 hasConcept C2780821815 @default.
- W4316511298 hasConcept C33923547 @default.
- W4316511298 hasConcept C41008148 @default.
- W4316511298 hasConcept C55439883 @default.
- W4316511298 hasConcept C81917197 @default.
- W4316511298 hasConcept C87007009 @default.
- W4316511298 hasConcept C9725762 @default.
- W4316511298 hasConceptScore W4316511298C10138342 @default.
- W4316511298 hasConceptScore W4316511298C105795698 @default.
- W4316511298 hasConceptScore W4316511298C11413529 @default.
- W4316511298 hasConceptScore W4316511298C125112378 @default.
- W4316511298 hasConceptScore W4316511298C126255220 @default.
- W4316511298 hasConceptScore W4316511298C13280743 @default.
- W4316511298 hasConceptScore W4316511298C136764020 @default.
- W4316511298 hasConceptScore W4316511298C154945302 @default.
- W4316511298 hasConceptScore W4316511298C15744967 @default.
- W4316511298 hasConceptScore W4316511298C162324750 @default.
- W4316511298 hasConceptScore W4316511298C183356978 @default.
- W4316511298 hasConceptScore W4316511298C185798385 @default.
- W4316511298 hasConceptScore W4316511298C19417346 @default.
- W4316511298 hasConceptScore W4316511298C202655437 @default.
- W4316511298 hasConceptScore W4316511298C205649164 @default.
- W4316511298 hasConceptScore W4316511298C2775924081 @default.
- W4316511298 hasConceptScore W4316511298C2775936607 @default.
- W4316511298 hasConceptScore W4316511298C2777382242 @default.
- W4316511298 hasConceptScore W4316511298C2780821815 @default.