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| Format: | Artículo científico |
| Language: | en |
| Published: |
Universidad ESAN
2014
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| Online Access: | https://www.redalyc.org/articulo.oa?id=360733617004 |
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Table of Contents:
- Index tracking and enhanced indexation using a parametric approach Luis Chavez-Bedoya John R. Birge Multidisciplinarias (Ciencias Sociales) Parametric Index tracking Enhanced indexation Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling nonlinear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index 2014 artículo científico 2077-1886 https://www.redalyc.org/articulo.oa?id=360733617004 en http://www.redalyc.org/revista.oa?id=3607 Journal of Economics, Finance and Administrative Science application/pdf Universidad ESAN Journal of Economics, Finance and Administrative Science (Perú) Num.36 Vol.19