SciELO - Scientific Electronic Library Online

 número235Normas contables para pequeñas y medianas empresas. Evidencia para España índice de autoresíndice de materiabúsqueda de artículos
Home Pagelista alfabética de revistas  

Servicios Personalizados



Links relacionados

  • No hay artículos similaresSimilares en SciELO


Contaduría y administración

versión impresa ISSN 0186-1042


ZAMBRANO MANUECO, Homero. Closed-form solution error minimization for indexed portfolios. Contad. Adm [online]. 2011, n.235, pp. 11-27. ISSN 0186-1042.

This paper has a twofold result: 1) It develops an analytical solution (closed-form solution) for the minimization of tracking error. 2) It shows that, notwithstanding that minimization is relatively easy to achieve with numerical algorithms, the analytical solution considerably reduces CPU time. Minimization is done over the whole population of stocks issuances or over an arbitrary sample of them; therefore, the solution is applicable within a heuristic context for selecting a definite number of stocks issuances with which to minimize the tracking error.

Palabras llave : tracking error; optimization; portfolios.

        · resumen en Español     · texto en Español     · Español ( pdf )


Creative Commons License All the contents of this journal, except where otherwise noted, is licensed under a Creative Commons Attribution License