Equity index replication with standard and robust regression estimators

DOI10.1007/S002910000043MaRDI QIDQ1841815zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

approximate equity index replicationlinear regressionnonlinear estimationrobust estimationtracking error

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• A method for robust index tracking
• A note on the exact replication of a stock index with a multiplier rounding method
• Index mutual fund replication
• Robust regression with optimisation heuristics
• Exact fit points under simple regression with replication

Cited in

(6)

• A note on the exact replication of a stock index with a multiplier rounding method
• An evolutionary heuristic for the index tracking problem.
• Dynamic index tracking and risk exposure control using derivatives
• A method for robust index tracking
• Deep learning for enhanced index tracking
• Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors

This page was built for publication: Equity index replication with standard and robust regression estimators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1841815)