On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

DOI10.1080/14697688.2014.940604MaRDI QIDQ4683045zbMATH OpenOpenAlexFDO

Authors Eduardo Acosta-González, Reinaldo Armas-Herrera, Fernando Fernández-Rodríguez

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.940604

zbMATH Keywords

cointegrationgenetic algorithmsenhanced indexationfund managementtracking portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• scientific article; zbMATH DE number 1836443 (Why is no real title available?)
• An evolutionary heuristic for the index tracking problem.
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Constrained Index Tracking under Loss Aversion Using Differential Evolution
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Index-plus-alpha tracking under concave transaction cost
• Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
• Mixed-integer programming approaches for index tracking and enhanced indexation
• The Optimal Selection of Small Portfolios

Cited in

(5)

• Index tracking with utility enhanced weighting
• High-dimensional index tracking based on the adaptive elastic net
• An enhanced GRASP approach for the index tracking problem
• Statistical arbitrage for multiple co-integrated stocks
• Applying time series decomposition to construct index-tracking portfolio

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