Index Tracking: Some Techniques and Results

  • Winfried G. Hallerbach
Conference paper
Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Abstract

An index fund is a portfolio designed to mimic the behavior of a stock market index. These broad stock market indexes are recognized benchmarks for institutional portfolios. Also, the growing acceptance of efficient market theory legitimized indexing as an investment strategy for institutional investors. By the late 1980s, for example, the surge in indexing to the S&P 500 turned the incorporated stocks into the “Nifty 500” (Jacques [1988]).

Keywords

Covariance Transportation Stratification Rebalance Pasis 

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Copyright information

© Physica-Verlag Heidelberg 1994

Authors and Affiliations

  • Winfried G. Hallerbach
    • 1
  1. 1.Dept of FinanceErasmus University RotterdamRotterdamThe Netherlands

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