Lasso-based index tracking and statistical arbitrage long-short strategies

von Sant'Anna, Leonardo Riegel
Veröffentlicht in The North American journal of economics and finance (2020)

Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection

von Sant'Anna, Leonardo Riegel
Veröffentlicht in The quarterly review of economics and finance (2017)

Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming

von Sant'Anna, Leonardo Riegel
Veröffentlicht in CLAIO (17. : 2014 : Monterrey) Annals of operations research ; volume 258, number 2 (November 2017) (2017)

Risk measure index tracking model

von Sant'Anna, Leonardo Riegel
Veröffentlicht in International review of economics & finance (2022)

Solving the index tracking problem based on a convex reformulation for cointegration

von Sant'Anna, Leonardo Riegel
Veröffentlicht in Finance research letters (2020)