Scozzari, Andrea; Tardella, Fabio; Paterlini, Sandra; … - Dipartimento di Economia "Marco Biagi", Università … - 2012
Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the...