Mean-risk optimization for index tracking

Nakano Yumiharu

Statistics & Risk Modeling, 2006, vol. 24, issue 1, 189-207

Abstract: This paper presents an analysis of the tracking problems of multiple indices with multidimensional performance criterion consisting of mean wealth and the tracking errors. We evaluate the performance of portfolios via the vector inequalities defined by convex cones, which enable us to describe various preference relations for investors. In Brownian market models with deterministic coefficients, we completely determine the set of efficient portfolios as well as the efficient frontier in our context. As a product of our analysis, we exhibit a version of Tobin's mutual fund theorem.

Keywords: portfolio management; index tracking; multicriteria optimization; efficient frontier; mean-risk analysis; mutual fund theorem; risk measures (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:24:y:2006:i:1:p:189-207:n:9

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DOI: 10.1524/stnd.2006.24.1.189

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