A novel semi-static method for the index tracking problem

Book

Chun-Chong Fu, 傳祥韓 and Kun Wang

Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes), Vol.3-4, pp.1991-2002

2024

Abstract

Constrained Kalman filter method;Generalized singular value decomposition;Robust index tracking

1 Record Views

Title: A novel semi-static method for the index tracking problem
Creators - without role: Chun-Chong Fu - National Taiwan University of Science and Technology
傳祥韓
Kun Wang - National Tsing Hua University
Publication Details: Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes), Vol.3-4, pp.1991-2002
Identifiers: 978-981126994-3, 978-981126993-6; 9957769698906774
Academic Unit: Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
Language: English
Resource Type: Book