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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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dc.contributor.author García García, Fernando es_ES
dc.contributor.author Guijarro Martínez, Francisco es_ES
dc.contributor.author Moya Clemente, Ismael es_ES
dc.date.accessioned 2016-04-15T13:27:35Z
dc.date.available 2016-04-15T13:27:35Z
dc.date.issued 2013
dc.identifier.issn 1611-1699
dc.identifier.uri http://hdl.handle.net/10251/62638
dc.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 es_ES
dc.description.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 reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund s manager to satisfy different clients investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100. es_ES
dc.language Inglés es_ES
dc.publisher Taylor & Francis: SSH Journals es_ES
dc.relation.ispartof Journal of Business Economics and Management es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Index tracking es_ES
dc.subject Frontier curvature es_ES
dc.subject Tracking error variance es_ES
dc.subject Excess return es_ES
dc.subject Portfolio variance es_ES
dc.subject Mean-variance model es_ES
dc.subject Portfolio selection es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title A multiobjective model for passive portfolio management: an application on the S&P 100 index es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.3846/16111699.2012.668859
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation 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 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.3846/16111699.2012.668859 es_ES
dc.description.upvformatpinicio 758 es_ES
dc.description.upvformatpfin 775 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 14 es_ES
dc.description.issue 4 es_ES
dc.relation.senia 248434 es_ES
dc.identifier.eissn 2029-4433
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