Resumo

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.

Palavras-chave : tracking error; optimization; portfolios.