Index tracking and enhanced indexation using a parametric approach
| dc.contributor.author | Chávez-Bedoya Mercado, Luis C. | |
| dc.contributor.author | Birge, John R. | |
| dc.date.accessioned | 2021-11-04T17:07:44Z | |
| dc.date.available | 2021-11-04T17:07:44Z | |
| dc.date.issued | 2014-06-30 | |
| dc.description.abstract | Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index. | en_EN |
| dc.description.abstract | Basándonos en el trabajo de Brandt et al. (2009), formulamos un modelo de seguimiento de índices e indexación mejorada utilizando un enfoque paramétrico. Los pesos de cartera se modelan como funciones de características de activos y medidas de similitud de los activos con el índice objeto de seguimiento. Este enfoque permite tratar funciones de objetivos no lineales y no convexos, difíciles de incorporar en modelos de indexación mejorada y seguimiento de índices existentes. Además, proporciona al inversor más información sobre los valores en cartera porque la optimización se lleva a cabo en torno a estrategias de portafolio. Por último, se presenta una implementación empírica y un análisis de características seleccionadas del índice S&P500. | es_ES |
| dc.identifier | https://revistas.esan.edu.pe/index.php/jefas/article/view/195 | |
| dc.identifier.citation | Chavez-Bedoya, L. C., & Birge, J. R. (2014). Index tracking and enhanced indexation using a parametric approach. Journal of Economics, Finance and Administrative Science, 19(36), 19-44. https://doi.org/10.1016/j.jefas.2014.03.003 | |
| dc.identifier.doi | https://doi.org/10.1016/j.jefas.2014.03.003 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12640/2635 | |
| dc.language.iso | eng | |
| dc.publisher | Universidad ESAN. ESAN Ediciones | |
| dc.publisher.country | PE | |
| dc.relation.ispartof | urn:issn:2218-0648 | |
| dc.relation.uri | https://revistas.esan.edu.pe/index.php/jefas/article/view/195/331 | |
| dc.rights | Attribution 4.0 International | * |
| dc.rights | info:eu-repo/semantics/openAccess | es_ES |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0 | |
| dc.subject | Index tracking | en_EN |
| dc.subject | Enhanced indexation | en_EN |
| dc.subject | Parametric | en_EN |
| dc.subject | Seguimiento de índices | es_ES |
| dc.subject | Indexación mejorada | es_ES |
| dc.subject | Paramétrico | es_ES |
| dc.subject.ocde | https://purl.org/pe-repo/ocde/ford#5.02.04 | |
| dc.title | Index tracking and enhanced indexation using a parametric approach | en_EN |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.other | Artículo | |
| dc.type.version | info:eu-repo/semantics/publishedVersion | |
| local.author.orcid | https://orcid.org/0000-0002-0992-9495 | |
| oaire.citation.endPage | 44 | |
| oaire.citation.issue | 36 | |
| oaire.citation.startPage | 19 | |
| oaire.citation.title | Journal of Economics, Finance and Administrative Science | |
| oaire.citation.volume | 19 |
