Search Results - subject:"Index Tracking"

Correlation versus Cointegration: Do Cointegration based - Index-Tracking Portfolios perform better? Evidence from the Swedish Stock-Market

Grobys, Klaus - In: Zeitschrift für Nachwuchswissenschaftler - German … 2 (2010) 1, pp. 72-78

Passive portfolio management which aims to replicate a stock index faces basically two different optimization methods. Traditional portfolio management employs historical stock return data of preselected stocks in order to replicate the underlying stock index. The cointegration method employs...

Persistent link: https://www.econbiz.de/10008788646

Differential Evolution and Combinatorial Search for Constrained Index Tracking

Krink, Thiemo; Mittnik, Stefan; Paterlini, Sandra - Dipartimento di Economia "Marco Biagi", Università … - 2009

Index tracking is a valuable low-cost alternative to active portfolio management. The implementation of a quantitative … Differential Evolution (DE) and on combinatorial search. The main advantage of our method is that it can tackle index tracking …

Persistent link: https://www.econbiz.de/10005245057

A linear risk-return model for enhanced indexation in portfolio optimization

Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 735-759

Persistent link: https://www.econbiz.de/10011296700

Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets

Andriosopoulos, Kostas; Nomikos, Nikos - In: European Journal of Operational Research 234 (2014) 2, pp. 571-582

-sector stocks from the US and the UK respectively. Daily data are used and the index-tracking problem for passive investment is …

Persistent link: https://www.econbiz.de/10010730160

Enhanced index tracking with multiple time-scale analysis

Li, Qian; Bao, Liang - In: Economic Modelling 39 (2014) C, pp. 282-292

This paper considers the process optimal strategies for an enhanced index tracking problem. The investment goals are … process optimal enhanced index tracking are developed. Five data sets drawn from major world markets are adopted to implement …

Persistent link: https://www.econbiz.de/10010781995

Index tracking and enhanced indexation using a parametric approach

Chavez-Bedoya, Luis; Birge, John - 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/10010840534

Nonnegative-lasso and application in index tracking

Wu, Lan; Yang, Yuehan; Liu, Hanzhong - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 116-126

multiplicative updates approach is preferred since it is faster and simpler. The constrained index tracking problem in stock market …

Persistent link: https://www.econbiz.de/10010719681

Multi-scale tracking dynamics and optimal index replication

Li, Qian; Bao, Liang; Zhang, Q. L. - In: Applied economics letters 21 (2014) 4/6, pp. 252-256

Persistent link: https://www.econbiz.de/10010413873

Enhanced index tracking with multiple time-scale analysis

Li, Qian; Bao, Liang - In: Economic modelling 39 (2014), pp. 282-292

Persistent link: https://www.econbiz.de/10010421812

Cluster analysis for regime identification and forecasting with application to the enhanced index tracking problem

Paulo, Wanderlei Lima de; Costa, Oswaldo Luiz do Valle - In: Investment management and financial innovations 11 (2014) 3, pp. 44-52

Persistent link: https://www.econbiz.de/10010512184