Indexation of Fixed-Income Portfolios to the IMA-B
This study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index – Series B (IMA-B), composed of Brazilian National Treasury Notes – Series B (NTNBs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
FUCAPE Business School
2015-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123041057006 |