Construction of Risk-Averse Enhanced Index Funds
نویسندگان
چکیده
منابع مشابه
Construction of Risk-Averse Enhanced Index Funds
We propose a partial replication strategy to construct risk-averse enhanced index funds. Our modeltakes into account the parameter estimation risk by defining the asset returns and the return covariance terms asrandom variables. The variance of the index fund return is forced to be below a low-risk threshold with a largeprobability, thereby limiting the market risk exposure of the i...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1697258