A multiobjective model for passive portfolio management : an application on the S&P 100 index
Year of publication: |
2013
|
---|---|
Authors: | García, Fernando ; Guijarro, Francisco ; Moya, Ismael |
Published in: |
Journal of business economics and management. - Vilnius : VTGU Press Technika, ISSN 1611-1699, ZDB-ID 2208925-1. - Vol. 14.2013, 4, p. 758-775
|
Subject: | index tracking | frontier curvature | tracking error variance | excess return | portfolio variance | mean-variance model | portfolio selection | Portfolio-Management | Portfolio selection | Theorie | Theory | Aktienindex | Stock index | Kapitaleinkommen | Capital income | Schätzung | Estimation |
-
Follow the leader : index tracking with factor models
Jiang, Pan, (2021)
-
A note on the estimation of minimum tracking error portfolios
Naibert, Paulo F., (2020)
-
Beta-adjusted covariance estimation
Boudt, Kris, (2021)
- More ...
-
A multiobjective model for passive portfolio management: an application on the S&P 100 index
García, Fernando, (2013)
-
Monitoring credit risk in the social economy sector by means of a binary goal programming model
García, Fernando, (2013)
-
An algorithm for variable selection in firm valuation models
García, Fernando, (2009)
- More ...