Chavez-Bedoya, Luis; Birge, John R. - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 19-44
Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits...
