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

DOI10.1016/J.MCM.2011.02.015zbMATH Open1235.91157OpenAlexW1993906058MaRDI QIDQ409795FDOQ409795

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

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zbMATH Keywords

index trackingportfolio selectionfrontier curvaturetracking error variance

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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

Cited In (6)

• Mean-risk optimization for index tracking
• An optimisation approach to constructing an exchange-traded fund
• A non-parametric index of tracking
• Index tracking with fixed and variable transaction costs
• The new one-sided financial index tracking model based on lower partial moment risk measures and the \(t\)-distribution
• Title not available (Why is that?)

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