Index Tracking by Means of Optimized Sampling. Kees van Montfort, Elout Visser and Laurens Fijn van Draat. The Journal of Portfolio Management Winter 2008, ...
Index-trackingMean-variance optimizationPortfolio selection
evaluate the different methods of optimized sampling, the concepts of absolute and relative stability of tracking quality were introduced.
an index that provide the most representative sample of the index based on correlations, exposure and risk
Request PDF | Index Tracking by Means of Optimized Sampling | We read often that investors are frequently satisfied with an average return, ...
A Method for Robust Index Tracking
We propose a novel portfolio strategy that combines the existing stratified strategy and optimized sampling strategy. The proposed method enables one to ...
The first method when investing in ETFs is known as full replication.
Index tracking is a form of passive portfolio (fund) management that attempts
However, there are also many ETFs using a sparse construction, where representative sampling, with 80-95% of the underlying securities being used, or ...