Applying time series decomposition to construct index-tracking portfolio
DOI10.1007/S10690-018-9252-7zbMath1405.91565OpenAlexW2897025033WikidataQ129056140 ScholiaQ129056140MaRDI QIDQ1757622
Jun Nakayama, Daisuke Yokouchi
Publication date: 15 January 2019
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-018-9252-7
hierarchical clusteringlocally weighted regressionportfolio managementtime series decompositionindex-trackinglowess
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Decomposition of Japanese yen interest rate data through local regression
- Tracking error: a multistage portfolio model
- Mixed-integer programming approaches for index tracking and enhanced indexation
- Robust Locally Weighted Regression and Smoothing Scatterplots
- A methodology for index tracking based on time-series clustering
- On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
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