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Gabriel Matos Pereira,Leonardo Riegel Sant'Anna,Tiago Pascoal Filomena,João Luiz Becker
Pág. 288 - 324
Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which...
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Leonardo Riegel Sant'Anna,Tiago Pascoal Filomena,Denis Borenstein
Pág. 89 - 119
Index tracking is a passive investment strategy, which aims at generating portfolios to reproduce a specific market index?s performance. This article proposes a model for a index tracking problem with control on the number of assets in the portfolio, whi...
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