Modeling index tracking portfolio based on stochastic dominance for stock selection

We propose a three-step method using the stochastic dominance (SD) approach on stock filtering to determine the number and candidate stocks in a portfolio. We empirically prove that our model can be used to efficiently construct a partial tracking portfolio and replicate the return of the index. Fir...

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Veröffentlicht in:	The Engineering economist 2022-07, Vol.67 (3), p.172-194
Hauptverfasser:	Wu, Liangchuan, Wang, Yuju, Wu, Liang-Hong
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Artificial intelligence Constituents Tracking
Online-Zugang:	Volltext
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