Equity index replication with standard and robust regression estimators
From MaRDI portal
Publication:1841815
DOI10.1007/s002910000043zbMath1017.91081MaRDI QIDQ1841815
Publication date: 18 February 2001
Published in: OR Spektrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s002910000043
linear regression; robust estimation; tracking error; nonlinear estimation; approximate equity index replication
91B82: Statistical methods; economic indices and measures
Related Items
Dynamic Index Tracking and Risk Exposure Control Using Derivatives, A Method for Robust Index Tracking, An evolutionary heuristic for the index tracking problem.