Indexation of Fixed-Income Portfolios to the IMA-B
This study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index â€“ Series B (IMA-B), composed of Brazilian National Treasury Notes â€“ Series B (NTNBs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to the returns of the indexâ€™s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the modelâ€™s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.
Volume (Year): 12 (2015)
Issue (Month): 3 (May)
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