Optimization Methods for Financial Index Tracking

Optimization Methods for Financial Index Tracking

From Theory to Practice

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Index tracking is a very popular passive investment strategy. Since an index cannot be traded directly, index tracking refers to the process of creating a portfolio that approximates its performance. A straightforward way to do that is to purchase all the assets that compose an index in appropriate quantities. However, to simplify the execution, avoid small and illiquid positions and large transaction costs, it is desired that the tracking portfolio consists of a small number of assets. Although index tracking is driven from the financial industry, it is in fact a pure signal processing proble...