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Lasso-based index tracking and statistical arbitrage long-short strategies
Sant'Anna, Leonardo Riegel; Caldeira, João F.; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012659433
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Solving the index tracking problem based on a convex reformulation for cointegration
Sant'Anna, Leonardo Riegel; Oliveira, Alan Delgado de; … - In: Finance research letters 37 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012484879
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A note on the estimation of minimum tracking error portfolios
Naibert, Paulo F.; Caldeira, João F.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 209-214
Persistent link: https://www.econbiz.de/10012271404
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Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: The quarterly review of economics and finance : journal … 65 (2017), pp. 146-157
Persistent link: https://www.econbiz.de/10011792475