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  • Search: subject:"Index Tracking"
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Year of publication
Subject
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Portfolio selection 63 Portfolio-Management 63 Index tracking 53 Theorie 53 Theory 53 Aktienindex 48 Stock index 48 Mathematical programming 30 Mathematische Optimierung 30 Index 21 Index number 21 index tracking 17 Enhanced index tracking 13 Capital income 9 Heuristics 9 Heuristik 9 Kapitaleinkommen 9 Portfolio optimization 9 Estimation 6 Risiko 6 Risk 6 Schätzung 6 Enhanced indexation 5 Investment Fund 5 Investmentfonds 5 Portfolio management 5 cointegration 5 Cointegration 4 Correlation 4 Estimation theory 4 Finance 4 Forecasting model 4 Index Tracking 4 Kointegration 4 Korrelation 4 Prognoseverfahren 4 Risikomaß 4 Risk measure 4 Schätztheorie 4 Sparsity 4
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Online availability
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Undetermined 61 Free 25 CC license 2
Type of publication
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Article 84 Book / Working Paper 16
Type of publication (narrower categories)
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Article in journal 61 Aufsatz in Zeitschrift 61 Working Paper 5 Arbeitspapier 4 Article 3 Graue Literatur 3 Non-commercial literature 3 Aufsatz im Buch 2 Book section 2 research-article 1
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Language
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English 77 Undetermined 22 Portuguese 1
Author
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Paterlini, Sandra 7 Scozzari, Andrea 6 Tardella, Fabio 6 Sant'Anna, Leonardo Riegel 5 Bruni, Renato 4 Caldeira, João F. 4 Cesarone, Francesco 4 Filomena, Tiago Pascoal 4 Andriosopoulos, Kostas 3 Bao, Liang 3 Dimitriu, Anca 3 Guastaroba, Gianfranco 3 Krink, Thiemo 3 Li, Qian 3 Paulo, Wanderlei Lima de 3 Speranza, Maria Grazia 3 Strub, O. 3 Wu, Dexiang 3 Alexander, Carol 2 Almeida-Filho, Adiel T. de 2 Birge, John R. 2 Chavez-Bedoya, Luis 2 Costa, Giorgio 2 Costa, Oswaldo Luiz do Valle 2 Doumpos, Michael 2 Giuzio, Margherita 2 Grobys, Klaus 2 Hong, Seo Woo 2 Huang, Jinbo 2 Karlow, Denis 2 Kim, Saejoon 2 Kwon, Roy 2 Kwon, Roy H. 2 Lawryshyn, Yuri 2 Li, Yong 2 Mansini, Renata 2 Miasnikof, Pierre 2 Ogryczak, Włodzimierz 2 Papantonis, Ioannis 2 Papapostolou, Nikos C. 2
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Institution
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 5 Henley Business School, University of Reading 3 Finance Discipline Group, Business School 1 Frankfurt School of Finance and Management 1 Society for Computational Economics - SCE 1
Published in...
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Quantitative finance 7 European journal of operational research : EJOR 4 Finance research letters 4 Omega : the international journal of management science 4 Computers & operations research : and their applications to problems of world concern ; an international journal 3 European Journal of Operational Research 3 ICMA Centre Discussion Papers in Finance 3 The North American journal of economics and finance : a journal of financial economics studies 3 Applied mathematical finance 2 Center for Economic Research (RECent) 2 Department of Economics / Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 2 Economics Bulletin 2 Frankfurt School - Working Paper Series 2 Investment management and financial innovations 2 Journal of Economics, Finance and Administrative Science 2 Journal of empirical finance 2 Algorithmic finance 1 Applied economics 1 Applied economics letters 1 Asia-Pacific Financial Markets 1 Asia-Pacific financial markets 1 Asian Academy of Management journal : AAMJ 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 Central European journal of operations research 1 Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 1 Computational Management Science 1 Computational Statistics & Data Analysis 1 Computational economics 1 Computing in Economics and Finance 2001 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion paper series / Research Department, Bank of Israel 1 ESI working papers 1 Economic Modelling 1 Economic modelling 1 Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada 1 Financial markets and portfolio management 1 Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 3 1 IMA journal of management mathematics 1 International journal of production economics 1 International review of economics & finance : IREF 1
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Source
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ECONIS (ZBW) 67 RePEc 27 EconStor 4 Other ZBW resources 2
Showing 41 - 50 of 100
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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A two-stage approach to the UCITS-constrained index-tracking problem
Strub, O.; Trautmann, Norbert - In: Computers & operations research : and their … 103 (2019), pp. 167-183
Persistent link: https://www.econbiz.de/10011991123
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Index tracking with utility enhanced weighting
Clark, Ephraim; Deshmukh, Nitin; Güran, Celal Barkan; … - In: Quantitative finance 19 (2019) 11, pp. 1893-1904
Persistent link: https://www.econbiz.de/10012195663
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An enhanced decision support approach for learning and tracking derivative index
Wu, Dexiang; Wu, Desheng Dash - In: Omega : the international journal of management science 88 (2019), pp. 63-76
Persistent link: https://www.econbiz.de/10012118649
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Tracking and outperforming large stock-market indices
Gnägi, M.; Strub, O. - In: Omega : the international journal of management science 90 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012120826
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Index tracking and enhanced indexation using a parametric approach
Chavez-Bedoya, Luis; Birge, John R. - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 19-44
Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …
Persistent link: https://www.econbiz.de/10011859359
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Index tracking com controle do número de ativos
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: Revista Brasileira de Finanças : RBFin 12 (2014) 1, pp. 89-119
Persistent link: https://www.econbiz.de/10010402917
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Index tracking and enhanced indexation using a parametric approach
Chávez-Bedoya, Luis; Birge, John R. - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 19-44
Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …
Persistent link: https://www.econbiz.de/10011872456
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No arbitrage and a linear portfolio selection model
Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: Economics Bulletin 33 (2013) 2, pp. 1247-1258
We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage...
Persistent link: https://www.econbiz.de/10010835988
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Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo; Li, Yong; Yao, Haixiang - In: Journal of economic dynamics & control 92 (2018), pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
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