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Index-plus-alpha tracking under concave transaction cost
| 1. | Department of Industrial and Systems Engineering, Chuo University, Japan, Japan |
The method to be proposed in this paper is to calculate a portfolio which keeps track of an index-plus-alpha portfolio with minimal transaction cost. The problem is formulated as a concave minimization under linear constraints, which can be solved in an efficient manner by a branch and bound algorithm. We will demonstrate that this method can usually outperform the given index when alpha is chosen in an appropriate manner.
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2018 Impact Factor: 1.025
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