The curvature of the tracking frontier: a new criterion for the partial index tracking problem

DOI10.1016/J.MCM.2011.02.015MaRDI QIDQ409795zbMATH OpenOpenAlexFDO

Authors Fernando García, Francisco Guijarro, Ismael Moya

Publication date 15 April 2012

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10251/38058

zbMATH Keywords

index trackingportfolio selectionfrontier curvaturetracking error variance

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A hybrid optimization approach to index tracking
• A theorem connecting utility function optimization and compromise programming
• Bicriteria Optimization Problem of Designing an Index Fund

Cited in

(7)

• scientific article; zbMATH DE number 2042818 (Why is no real title available?)
• Mean-risk optimization for index tracking
• A non-parametric index of tracking
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
• The new one-sided financial index tracking model based on lower partial moment risk measures and the \(t\)-distribution
• An optimisation approach to constructing an exchange-traded fund
• Index tracking with fixed and variable transaction costs

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