Applying time series decomposition to construct index-tracking portfolio

DOI10.1007/S10690-018-9252-7zbMath1405.91565OpenAlexW2897025033WikidataQ129056140 ScholiaQ129056140MaRDI QIDQ1757622

Jun Nakayama, Daisuke Yokouchi

Publication date: 15 January 2019

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-018-9252-7

zbMATH Keywords

hierarchical clusteringlocally weighted regressionportfolio managementtime series decompositionindex-trackinglowess

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Decomposition of Japanese yen interest rate data through local regression
• Tracking error: a multistage portfolio model
• Mixed-integer programming approaches for index tracking and enhanced indexation
• Robust Locally Weighted Regression and Smoothing Scatterplots
• A methodology for index tracking based on time-series clustering
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

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