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Passive portfolio management based on quadratic index tracking
Názov Passive portfolio management based on quadratic index tracking Aut.údaje Martin Boďa, Mária Kanderová Autor Boďa Martin 1984- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Spoluautori Kanderová Mária 1965- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Zdroj.dok. Ad Alta : journal of interdisciplinary research. Vol. 4, no. 1 (2014), pp. 10-14. - Hradec Králové : Magnanimitas, 2014 Kľúč.slová passive portfolio management quadratic index tracking tracking portfolio tracking error Jazyk dok. angličtina Krajina Česká republika Systematika 007 Anotácia Strategies of passive management in portfolio selection are based on imitating the performance of a specific benchmark ( that is designed in such a way that it approximates as best as possible the value of the market portfolio) with the intention of achieving minimum discrepancy between the benchmark performance and the tracking portfolio performance. In the paper attention is given to portfolio selection based on partial replication of the S&P 500 Index. In contrast to the traditional Markowitzian approach, the key criterion of portfolio selection is minimization of the quadratic tracking error variance. In the empirical exercise, out of the stocks represented in the S&P 500 Index one stock was chosen randomly by each of the 10 GICS sectors and this selection of 10 stocks were available for portfolio selection. On the scale of performance, the quadratic index tracking strategy can be seen superior to the traditional Markowitzian approach. URL Link na plný text Kategória publikačnej činnosti ADM Číslo archívnej kópie 31972 Katal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Báza dát xpca - PUBLIKAČNÁ ČINNOSŤ Odkazy PERIODIKÁ-Súborný záznam periodika 
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