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Quantitative Finance Volume 19, 2019 - Issue 3
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Structural minimization of tracking error

Peter RossbachManagement Department, Frankfurt School of Finance & Management, Adickesallee 32-34, Frankfurt am Main60322, GermanyCorrespondence[email protected]
&
Denis KarlowManagement Department, Frankfurt School of Finance & Management, Adickesallee 32-34, Frankfurt am Main60322, Germany
Pages 357-366 | Received 26 Jul 2017, Accepted 14 Sep 2018, Published online: 13 Dec 2018

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Read on this site (2)

Surpreet Bharjana, Rohan Fletcher & Paul Lajbcygier. (2023) Factor Replication with Industry Stratification. Financial Analysts Journal 79:3, pages 118-135.
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Brian Clark, Chanaka Edirisinghe & Majeed Simaan. (2022) Estimation risk and the implicit value of index-tracking. Quantitative Finance 22:2, pages 303-319.
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Articles from other publishers (3)

Maisa Kely de Melo, Rodrigo Tomás Nogueira Cardoso, Tales Argolo Jesus & Guilherme Vianna Raffo. (2022) Investment portfolio tracking using model predictive control. Optimal Control Applications and Methods 44:1, pages 259-274.
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Maisa Kely de Melo, Rodrigo T. N. Cardoso & Tales Argolo Jesus. (2021) A Genetic Algorithm For Investment Tracking With Stochastic Model Predictive Control. A Genetic Algorithm For Investment Tracking With Stochastic Model Predictive Control.
Brian J. Clark, Chanaka Edirisinghe & Majeed Simaan. (2017) Estimation Risk and Implicit Value of Index-Tracking. SSRN Electronic Journal.
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