Inflation Rate Tracking Portfolio Optimization Method : Evidence From Japan

Index tracking portfolio is a portfolio that tracks economic indicators or stock indexes. In this study, we propose an inflation rate tracing portfolio method that considers the portfolio turnover and the target return in the past inflation phase. The method is formulated as a quadratic programming problem, and the optimization algorithm is derived. We verify the advantages of the method using Japanese inflation rate data

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Year of publication:	[2022]
Authors:	Nakagawa, Kei ; Suimon, Yoshiyuki
Publisher:	[S.l.] : SSRN
Subject:	Japan \| Portfolio-Management \| Portfolio selection \| Inflationsrate \| Inflation rate \| Inflation

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 5, 2022 erstellt
Classification:	G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

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