Equity index replication with standard and robust regression estimators

DOI10.1007/S002910000043zbMATH Open1017.91081OpenAlexW3125003459MaRDI QIDQ1841815FDOQ1841815

Authors: Günter Bamberg, Niklas Wagner 

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

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zbMATH Keywords

linear regressionrobust estimationtracking errornonlinear estimationapproximate equity index replication

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cited In (4)

• Deep learning for enhanced index tracking
• An evolutionary heuristic for the index tracking problem.
• Dynamic index tracking and risk exposure control using derivatives
• A method for robust index tracking

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