A Method for Robust Index Tracking

DOI10.1007/978-3-642-20009-0_2zbMath1420.91419OpenAlexW125666010MaRDI QIDQ5232790

Peter Rossbach, Denis Karlow

Publication date: 13 September 2019

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-20009-0_2

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Factor-based robust index tracking

Uses Software

• OR-Library

Cites Work

• Unnamed Item
• Equity index replication with standard and robust regression estimators

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