Optimization Methods for Financial Index Tracking: From Theory to Practice

by Daniel P Palomar, Yiyong Feng, Konstantinos Benidis

Index tracking is a very popular passive investment strategy. Since an index cannot be traded directly, index tracking refers to the process of creating a portfolio that approximates its performance. A straightforward way to do that is to purchase all the assets that compose an index in appropriate quantities. However, to simplify the execution, avoid small and illiquid positions and large transaction costs, it is desired that the tracking portfolio...

• Format: Paperback
• Language: English
• ISBN: 1680834649
• ISBN13: 9781680834642
• Release Date: June 2018
• Publisher: Now Publishers
• Length: 122 Pages
• Weight: 0.41 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"