Constructing Absolute Return Funds with ETFs

Absolute return portfolios

CA Valle, N Meade, JE Beasley - Omega, 2014 - Elsevier
In this paper we consider the problem of selecting an absolute return portfolio. This is a
portfolio of assets that is designed to deliver a good return irrespective of how the underlying …
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Portfolio optimisation models

C Arbex Valle - 2013 - bura.brunel.ac.uk
In this thesis we consider three different problems in the domain of portfolio optimisation.
The first problem we consider is that of selecting an Absolute Return Portfolio (ARP). ARPs …
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