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A multiobjective model for passive portfolio management: an application on the S&P 100 index

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A multiobjective model for passive portfolio management: an application on the S&P 100 index

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García García, F.; Guijarro Martínez, F.; Moya Clemente, I. (2013). A multiobjective model for passive portfolio management: an application on the S&P 100 index. Journal of Business Economics and Management. 14(4):758-775. doi:10.3846/16111699.2012.668859

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/62638

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Title: A multiobjective model for passive portfolio management: an application on the S&P 100 index
Author: García García, Fernando Guijarro Martínez, Francisco Moya Clemente, Ismael
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Abstract:
Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost ...[+]
Subjects: Index tracking , Frontier curvature , Tracking error variance , Excess return , Portfolio variance , Mean-variance model , Portfolio selection
Copyrigths: Reserva de todos los derechos
Source:
Journal of Business Economics and Management. (issn: 1611-1699 ) (eissn: 2029-4433 )
DOI: 10.3846/16111699.2012.668859
Publisher:
Taylor & Francis: SSH Journals
Publisher version: http://dx.doi.org/10.3846/16111699.2012.668859
Description: This is an author's accepted manuscript of an article published in: “Journal of Business Economics and Management"; Volume 14, Issue 4, 2013; copyright Taylor & Francis; available online at: http://dx.doi.org/10.3846/16111699.2012.668859
Type: Artículo

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Aktan, B., Korsakienė, R., & Smaliukienė, R. (2010). TIME‐VARYING VOLATILITY MODELLING OF BALTIC STOCK MARKETS. Journal of Business Economics and Management, 11(3), 511-532. doi:10.3846/jbem.2010.25

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