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The curvature of the tracking frontier: A new criterion for the partial index tracking problem

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The curvature of the tracking frontier: A new criterion for the partial index tracking problem

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García García, F.; Guijarro Martínez, F.; Moya Clemente, I. (2011). The curvature of the tracking frontier: A new criterion for the partial index tracking problem. Mathematical and Computer Modelling. 54(7):1781-1784. doi:10.1016/j.mcm.2011.02.015

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/38058

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Title: The curvature of the tracking frontier: A new criterion for the partial index tracking problem
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Abstract:
Index tracking aims to select portfolios that imitate the behavior of a stock index. A tracking strategy is referred to as partial when the tracking portfolio is solely formed by a subset of stocks, so enabling a substantial ...[+]
Subjects: Frontier curvature , Index tracking , Portfolio selection , Tracking error variance , New parameters , Stock indices , Tracking errors , Transaction cost , Management , Managers , Cost reduction
Copyrigths: Cerrado
Source:
Mathematical and Computer Modelling. (issn: 0895-7177 )
DOI: 10.1016/j.mcm.2011.02.015
Publisher:
Elsevier
Publisher version: http://dx.doi.org/10.1016/j.mcm.2011.02.015
Type: Artículo

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