Enhanced index tracking with CVaR-based ratio measures

The enhanced index tracking problem (EITP) calls for the determination of an optimal portfolio of assets with the bi-objective of maximizing the excess return of the portfolio above a benchmark and minimizing the tracking error. The EITP is capturing a growing attention among academics, both for its practical relevance and for the scientific challenges that its study, as a multi-objective problem, poses. Several optimization models have been...