Applying time series decomposition to construct index-tracking portfolio
Year of publication: |
2018
|
---|---|
Authors: | Nakayama, Jun ; Yokouchi, Daisuke |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 25.2018, 4, p. 341-352
|
Subject: | Hierarchical clustering | Index-tracking | Locally weighted regression | Lowess | Portfolio management | Time series decomposition | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Dekompositionsverfahren | Decomposition method | Schätzung | Estimation |
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