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Passive portfolio management based on quadratic index tracking
Title Passive portfolio management based on quadratic index tracking Author info Martin Boďa, Mária Kanderová Author Boďa Martin 1984- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Co-authors Kanderová Mária 1965- (50%) UMBEF05 - Katedra kvantitatívnych metód a informačných systémov
Source document Ad Alta : journal of interdisciplinary research. Vol. 4, no. 1 (2014), pp. 10-14. - Hradec Králové : Magnanimitas, 2014 Keywords passive portfolio management quadratic index tracking tracking portfolio tracking error Language English Country Czech Republic systematics 007 Annotation 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 Public work category ADM No. of Archival Copy 31972 Catal.org. BB301 - Univerzitná knižnica Univerzity Mateja Bela v Banskej Bystrici Database xpca - PUBLIKAČNÁ ČINNOSŤ References PERIODIKÁ-Súborný záznam periodika 
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