Index tracking and portfolio optimization are pivotal techniques in modern financial management, aiming to replicate the performance of a benchmark index while minimising discrepancies and risk. This ...

Stochastic dominance provides a rigorous method to compare uncertain prospects without imposing restrictive assumptions on investor risk preferences, thus offering an alternative to traditional ...

The portfolio optimization model has limited impact in practice because of estimation issues when applied to real data. To address this, we adapt two machine learning methods, regularization and cross ...