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Factor based index tracking

Citations

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Cited by:

  1. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  2. Cesarone, Francesco & Lampariello, Lorenzo & Sagratella, Simone, 2019. "A risk-gain dominance maximization approach to enhanced index tracking," Finance Research Letters, Elsevier, vol. 29(C), pages 231-238.
  3. Paskalis Glabadanidis, 2020. "Portfolio Strategies to Track and Outperform a Benchmark," JRFM, MDPI, vol. 13(8), pages 1-26, August.
  4. Daniel Giamouridis & Sandra Paterlini, 2010. "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 223-247, September.
  5. Yu Zheng & Bowei Chen & Timothy M. Hospedales & Yongxin Yang, 2019. "Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach," Papers 1911.05052, arXiv.org, revised Nov 2019.
  6. Paskalis Glabadanidis & Leon Zolotoy, 2013. "Benchmark replication portfolio strategies," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 95-110, April.
  7. Derigs, Ulrich & Marzban, Shehab, 2009. "New strategies and a new paradigm for Shariah-compliant portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1166-1176, June.
  8. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
  9. Reza Bradrania & Davood Pirayesh Neghab & Mojtaba Shafizadeh, 2022. "State-dependent stock selection in index tracking: a machine learning approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 1-28, March.
  10. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
  11. Alexei Onatski & Chen Wang, 2021. "Spurious Factor Analysis," Econometrica, Econometric Society, vol. 89(2), pages 591-614, March.
  12. Aboura, Sofiane & Chevallier, Julien, 2017. "A new weighting-scheme for equity indexes," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 159-175.
  13. Liang-chuan Wu & I-chan Tsai, 2014. "Three fuzzy goal programming models for index portfolios," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 65(8), pages 1155-1169, August.
  14. Jiang, Pan & Perez, M. Fabricio, 2021. "Follow the leader: Index tracking with factor models," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 337-350.
  15. Blitz, David & Huij, Joop, 2012. "Evaluating the performance of global emerging markets equity exchange-traded funds," Emerging Markets Review, Elsevier, vol. 13(2), pages 149-158.
  16. Erdemlioglu, Deniz & Joliet, Robert, 2019. "Long-term asset allocation, risk tolerance and market sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 1-19.
  17. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
  18. Xiangyu Cui & Xuan Zhang, 2021. "Index tracking strategy based on mixed-frequency financial data," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-15, April.
  19. Donatien Tafin Djoko & Yves Till�, 2015. "Selection of balanced portfolios to track the main properties of a large market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 359-370, February.
  20. Casarin, Roberto & Grassi, Stefano & Ravazzolo, Francesco & van Dijk, Herman K., 2023. "A flexible predictive density combination for large financial data sets in regular and crisis periods," Journal of Econometrics, Elsevier, vol. 237(2).
  21. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
  22. Boldin, Michael & Cici, Gjergji, 2010. "The index fund rationality paradox," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 33-43, January.
  23. Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
  24. Yu Zheng & Timothy M. Hospedales & Yongxin Yang, 2018. "Diversity and Sparsity: A New Perspective on Index Tracking," Papers 1809.01989, arXiv.org, revised Feb 2020.
  25. Wu, Dexiang & Dash Wu, Desheng, 2019. "An enhanced decision support approach for learning and tracking derivative index," Omega, Elsevier, vol. 88(C), pages 63-76.
  26. Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.
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