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Index tracking with constrained portfolios

โœ Scribed by Dietmar Maringer; Olufemi Oyewumi

Book ID
111661320
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
866 KB
Volume
15
Category
Article
ISSN
1055-615X

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A stochastic-optimization technique based on time series cluster analysis is described for index tracking and enhanced index tracking problems. Our methodology solves the problem in two steps, i.e., by first selecting a subset of stocks and then setting the weight of each stock as a result of an opt