A note on the exact replication of a stock index with a multiplier rounding method

DOI10.1007/S002910050100zbMATH Open0940.90054OpenAlexW2089893495MaRDI QIDQ1808730FDOQ1808730

Authors: Gregor Dorfleitner 

Publication date: 25 July 2000

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002910050100

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zbMATH Keywords

portfolio selectionmultiplier rounding methodsfull replication of stock indices

Mathematics Subject Classification ID

Operations research and management science (90B99)

Cited In (2)

• An evolutionary heuristic for the index tracking problem.
• Equity index replication with standard and robust regression estimators

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