On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking

DOI10.1080/14697688.2014.940604zbMath1398.91495OpenAlexW1990913794MaRDI QIDQ4683045

Eduardo Acosta-González, Reinaldo Armas-Herrera, Fernando Fernández-Rodríguez

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.940604

zbMATH Keywords

genetic algorithmscointegrationenhanced indexationfund managementtracking portfolios

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

An enhanced GRASP approach for the index tracking problem ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ Applying time series decomposition to construct index-tracking portfolio ⋮ Index tracking with utility enhanced weighting

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• Constrained Index Tracking under Loss Aversion Using Differential Evolution
• The Optimal Selection of Small Portfolios
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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