Abstract

http://ssrn.com/abstract=1373039
 
 

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Index Tracking and Enhanced Indexation Using a Parametric Approach


Luis Chavez-Bedoya


Esan Graduate School of Business

John R. Birge


University of Chicago - Booth School of Business

November 1, 2009


Abstract:     
Based on the work of Brandt, Santa-Clara and Valkanov (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits to handle non-linear and non-convex objectives functions that are common in index tracking and enhanced indexation. An empirical implementation and analysis of the characteristics are presented for the S&P500 index.

Number of Pages in PDF File: 57

Keywords: Index Tracking, Enhanced Indexation

JEL Classification: G11

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Date posted: April 5, 2009 ; Last revised: November 3, 2009

Suggested Citation

Chavez-Bedoya, Luis and Birge, John R., Index Tracking and Enhanced Indexation Using a Parametric Approach (November 1, 2009). Available at SSRN: http://ssrn.com/abstract=1373039 or http://dx.doi.org/10.2139/ssrn.1373039

Contact Information

Luis Chavez-Bedoya (Contact Author)
Esan Graduate School of Business ( email )
Alonso de Molina 1652
Monterrico
Lima, Surco
Peru
John R. Birge
University of Chicago - Booth School of Business ( email )
5807 S. Woodlawn Avenue
Chicago, IL 60637
United States

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