In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which are based on stochastic dominance relations. The goal is to select portfolios that stochastically dominate a given benchmark but that, at the same time, must generate some excess return with respect to a benchmark index. To achieve this goal, we propose a new methodology that selects portfolios using the ordered weighted average (OWA) operator, which generalizes previous approaches based on minimax selection rules and still leads to solving linear programming models. We also introduce a new type of approximate stochastic dominance rule and show that it implies the almost Second-order Stochastic Dominance (SSD) criterion proposed by Lizyayev and Ruszczyński (2012). We prove that our EI model based on OWA selects portfolios that dominate a given benchmark through this new form of stochastic dominance criterion. We test the performance of the obtained portfolios in an extensive empirical analysis based on real-world datasets. The computational results show that our proposed approach outperforms several SSD-based strategies widely used in the literature, as well as the global minimum variance portfolio.

中文翻译：

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通过随机优势和有序加权平均优化实现灵活的增强型索引模型


在本文中，我们讨论了基于随机优势关系的增强型指数化 （EI） 的投资组合选择策略。目标是选择在给定基准中占据随机主导地位但同时必须相对于基准指数产生一些超额回报的投资组合。为了实现这一目标，我们提出了一种使用有序加权平均 （OWA） 运算符选择投资组合的新方法，该方法推广了以前基于最小极大选择规则的方法，并且仍然导致求解线性规划模型。我们还引入了一种新型的近似随机优势规则，并表明它暗示了 Lizyayev 和 Ruszczyński （2012） 提出的几乎二阶随机优势（SSD）标准。我们证明，我们基于 OWA 的 EI 模型通过这种新形式的随机优势标准选择主导给定基准的投资组合。我们在基于真实世界数据集的广泛实证分析中测试了所获得的投资组合的性能。计算结果表明，我们提出的方法优于文献中广泛使用的几种基于 SSD 的策略，以及全局最小方差组合。