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Index tracking strategy based on mixed-frequency financial data
To obtain market average return, investment managers need to construct index tracking portfolio to replicate target index. Currently, most literatures use financial data that has homogenous frequency when constructing the index tracking portfolio. To make up for this limitation, we propose a methodo...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8023492/ https://www.ncbi.nlm.nih.gov/pubmed/33822827 http://dx.doi.org/10.1371/journal.pone.0249665 |