Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection

Author:

Sant’Anna Leonardo R.,Filomena Tiago P.,Caldeira João F.

Funder

CAPES

CNPq

FAPERGS

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference45 articles.

1. On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: The role of stock picking;Acosta-González;Quantitative Finance,2015

2. Testing for cointegration between international stock prices;Ahlgren;Applied Financial Economics,2002

3. Optimal hedging using cointegration;Alexander;Philosophical Transactions of the Royal Society Series A,1999

4. The cointegration alpha: Enhanced index tracking and long-short equity market neutral strategies;Alexander;ISMA Discussion Papers in Finance,2002

5. Sources of over-performance in equity markets;Alexander;Journal of Portfolio Management,2004

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