Selection of balanced portfolios to track the main properties of a large market
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Publication:4683015
DOI10.1080/14697688.2013.859389zbMath1398.91515OpenAlexW2109350826MaRDI QIDQ4683015
Donatien Tafin Djoko, Yves Tillé
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.859389
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Efficient balanced sampling: The cube method
- Optimal sampling and estimation strategies under the linear model
- A methodology for index tracking based on time-series clustering
- A Generalization of Sampling Without Replacement From a Finite Universe
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