An analysis of a mean-variance enhanced index tracking problem with weights constraints
Year of publication: |
2018
|
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Authors: | Paulo, Wanderlei Lima de ; Fontova, Marta Ines Velazco ; Souza, Renato Canil de |
Published in: |
Investment management and financial innovations. - Sumy : Publishing Company "Business Perspectives", ISSN 1810-4967, ZDB-ID 2467221-X. - Vol. 15.2018, 4, p. 183-192
|
Subject: | enhanced index tracking | shrinkage covariance matrix | weights constraints | Theorie | Theory | Portfolio-Management | Portfolio selection | Aktienindex | Stock index |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassung in ukrainischer Sprache |
Other identifiers: | 10.21511/imfi.15(4).2018.15 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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