Indexation of Fixed-Income Portfolios to the IMA-B

This study considers the problem of indexing fixed-income portfolios to the ANBIMA Market Index – Series B (IMA-B), composed of Brazilian National Treasury Notes – Series B (NTNBs). We propose a mathematical model that minimizes the deviations of the returns of the chosen portfolio in relation to th...

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Autores principales: Emilio Ricardo Carvalhais, Antonio Marcos Duarte Júnior
Formato: article
Lenguaje:EN
PT
Publicado: FUCAPE Business School 2015
Materias:
ima
b
ntn
Acceso en línea:https://doaj.org/article/ca38d5f92d364e358caf4f470ef8363b
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