On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
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Publication:4683045
DOI10.1080/14697688.2014.940604zbMATH Open1398.91495OpenAlexW1990913794MaRDI QIDQ4683045FDOQ4683045
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
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Cites Work
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- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- An evolutionary heuristic for the index tracking problem.
- Mixed-integer programming approaches for index tracking and enhanced indexation
- The Optimal Selection of Small Portfolios
- Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management
- Index-plus-alpha tracking under concave transaction cost
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- Constrained Index Tracking under Loss Aversion Using Differential Evolution
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