Some ideas for improving quality of the index tracking based on cointegration
Cointegration approach to the passive portfolio management enables to replicate the selected stock index and to construct a portfolio with profitability and risk similar to market. This paper analyzes several options for improving this method. It focuses on one of the key tasks, which is an estimat...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2016-11-01
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| Series: | Business: Theory and Practice |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/BTP/article/view/8235 |