Portfolio Strategies to Track and Outperform a Benchmark
I investigate the question of how to construct a benchmark replicating portfolio consisting of a subset of the benchmark’s components. I consider two approaches: a sequential stepwise regression and another method based on factor models of security returns’ first and second moments. The first approa...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-08-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/13/8/171 |