A benchmark-asset principal component factorization for index tracking on large investment universes
F. Cesarone, A. Di Paolo, M. Bufalo, G. Orlando
| Year of publication: |
2025
|
|---|---|
| Authors: | Cesarone, F. ; Di Paolo, A. ; Bufalo, Michele ; Orlando, Giuseppe |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 79.2025, Art.-No. 107244, p. 1-12
|
| Subject: | CAPM | Index tracking | Passive management | Portfolio optimization | Tracking error | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2025.107244 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015420449