Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection
Leonardo R. Sant'Anna, Tiago P. Filomena, João F. Caldeira
| Year of publication: |
August 2017
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|---|---|
| Authors: | Sant'Anna, Leonardo Riegel ; Filomena, Tiago Pascoal ; Caldeira, João F. |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 65.2017, p. 146-157
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| Subject: | Index tracking | Enhanced index tracking | Cointegration | Correlation | Portfolio-Management | Portfolio selection | Aktienindex | Stock index | Korrelation | Kointegration | Index | Index number | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2016.08.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011792475