Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
Index tracking is a passive investment strategy in which a fund (e.g., an ETF: exchange traded fund) manager purchases a set of assets to mimic a market index. The tracking error, i.e., the difference between the performances of the index and the portfolio, may be minimized by buying all the asset...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2013-02-01.
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| Subjects: | |
| Online Access: | Get fulltext |