Index Tracking with Control on the Number of Assets
Index tracking is a passive investment strategy, which aims at generating portfolios to reproduce a specific market index’s performance. This article proposes a model for a index tracking problem with control on the number of assets in the portfolio, which corresponds to a restriction in transaction...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2014-06-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/10622 |