Search Results - subject:"Tracking error"

Physical versus synthetic exchange traded funds : which one replicates better?

Mateus, Cesario; Rahmani, Yana - In: Journal of mathematical finance 7 (2017) 4, pp. 975-989

Persistent link: https://www.econbiz.de/10011860220

The stability of traditional measures of index tracking quality

Roßbach, Peter; Karlow, Denis - 2011

square error, and tracking error variance) is used in order to measure the tracking quality.An interesting research question …

Persistent link: https://www.econbiz.de/10010304661

Minimización del tracking error con solución analítica para portafolios indizados

Homero, Zambrano Mañueco - In: Contaduría y Administración 235 (2011) 3, pp. 11-27

tracking error. 2) It shows that, notwithstanding that minimization is relatively easy to achieve with numerical algorithms … definite number of stocks issuances with which to minimize the tracking error. …

Persistent link: https://www.econbiz.de/10010814459

Minimización del tracking error con solución analítica para portafolios indizados

Homero, Zambrano Mañueco - In: Contaduría y Administración 56 (2011) 3, pp. 11-27

Persistent link: https://www.econbiz.de/10010885145

Exchange Traded Funds – A New Way of Dealing With Risk?

Miruna-Lucia, Nãchescu; Mirela, Barna Flavia- - In: Ovidius University Annals, Economic Sciences Series XI (2011) 1, pp. 1461-1466

In the context of the financial innovation of the last few decades, when we were faced with an important diversification of the financial instruments used on the capital markets, the ETFs are revolutionary financial products with a strong impact on the global investment environment. The unique...

Persistent link: https://www.econbiz.de/10010839030

Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk

Palomba, Giulio; Riccetti, Luca - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2011

tracking error volatility (TEV) under control. However, these constraints can not always be simultaneously satisfied because …

Persistent link: https://www.econbiz.de/10009143694

The stability of traditional measures of index tracking quality

Roßbach, Peter; Karlow, Denis - Frankfurt School of Finance and Management - 2011

square error, and tracking error variance) is used in order to measure the tracking quality.An interesting research question …

Persistent link: https://www.econbiz.de/10009018223

ИНДЕКСНЫЕ ПАЕВЫЕ ИНВЕСТИЦИОННЫЕ ФОНДЫ (АНАЛИЗ ДОХОДНОСТИ)

ГРИГОРЬЕВИЧ, СПИРО АРНОЛЬД; … - In: Управление большими … (2011) 3, pp. 200-212

Проведен анализ доходности инвестора открытого индексного паевого инвестиционного фонда, показано, что активы, не входящие в расчёт индекса, могут существенно...

Persistent link: https://www.econbiz.de/10011248407

Cointegration-based trading: evidence on index tracking & market-neutral strategies

Papantonis, Ioannis - In: Managerial Finance 42 (2016) 5, pp. 449-471

Purpose – The purpose of this paper is to present an alternative approach to equity trading that is based on cointegration. If there are long-run equilibria among financial assets, a cointegration-based trading strategy can exploit profitable opportunities by capturing mean-reverting short-run...

Persistent link: https://www.econbiz.de/10014941961

Asymptotic analysis for target asset portfolio allocation with small transaction costs

Liu, Cong; Zheng, Harry - In: Insurance / Mathematics & economics 66 (2016), pp. 59-68

Persistent link: https://www.econbiz.de/10011442683