Enhanced index tracking optimal portfolio selection

被引：16

作者：

de Paulo, Wanderlei Lima ^{[1
]}

de Oliveira, Estela Mara ^{[2
]}

do Valle Costa, Oswaldo Luiz ^{[2
]}

机构：

[1] Univ Sao Paulo, Coll Econ Business & Accounting, Ave Prof Luciano Gualberto 908, BR-05508900 Sao Paulo, SP, Brazil

[2] Univ Sao Paulo, Dept Telecommun Engn & Control, Ave Prof Luciano Gualberto 158, BR-05508900 Sao Paulo, SP, Brazil

来源：

FINANCE RESEARCH LETTERS | 2016年 / 16卷

关键词：

Index tracking; Enhanced index tracking; Portfolio selection; CARDINALITY; MANAGEMENT;

D O I：

10.1016/j.frl.2015.10.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we present an analytical solution for an uni-period enhanced index tracking problem with limited number of assets held in the tracking portfolio. We consider an approach in which the tracking portfolio is composed of a given subset of assets, and the value function is written as the trade-off between the tracking error and excess return, balanced by an appropriate choice of a risk aversion parameter. This formulation allows an analytical comparison of the betas and value functions of the optimal portfolios with and without tracking. Our approach provides readily implementable formulae, being consequently easier for numerical implementation. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：93 / 102

页数：10

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