Navegação Administração por Autor "Pian, Eduardo Tondo"
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Efficiency-based index tracking optimization model
Pian, Eduardo Tondo (2023) [Dissertação]We used asset efficiency constraints, measured by the Multifractal-Detrended Fluctuation Analysis (MF-DFA), in a classic index tracking model, obtaining a quadratic programming problem (QP). We form portfolios that seek ...