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Risk measure index tracking model

  • Published:2022-07 Issue: Volume:80 Page:361-383
  • ISSN:1059-0560
  • Container-title:International Review of Economics & Finance
  • language:en
  • Short-container-title:International Review of Economics & Finance

Author:

Sant’Anna Leonardo RiegelORCID,Righi Marcelo Brutti,Müller Fernanda MariaORCID,Guedes Pablo CristiniORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference41 articles.

1. On the coherence of expected shortfall;Acerbi;Journal of Banking & Finance,2002

2. Indexing and statistical arbitrage: tracking error or cointegration?;Alexander;The Journal of Portfolio Management,2005

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. (2013). Basel Committee on Banking Supervision. In Fundamental review of the trading book: A revised market risk framework. consultative document.

5. An evolutionary heuristic for the index tracking problem;Beasley;European Journal of Operational Research,2003

Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Portfolio optimisation using alternative risk measures;Finance Research Letters;2024-09

2. Is there a risk premium? Evidence from thirteen measures;The Quarterly Review of Economics and Finance;2023-12

3. Evolutionary Machine Learning in Finance;Handbook of Evolutionary Machine Learning;2023-11-02

4. A comparison of risk measures for portfolio optimization with cardinality constraints;Expert Systems with Applications;2023-10

5. Risk-allocation-based index tracking;Computers & Operations Research;2023-06
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