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 passive management indexation ntn fixed income Business HF5001-6182
Acceso en línea:	https://doaj.org/article/ca38d5f92d364e358caf4f470ef8363b
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spelling	oai:doaj.org-article:ca38d5f92d364e358caf4f470ef8363b2021-11-11T15:48:06ZIndexation of Fixed-Income Portfolios to the IMA-B1807-734Xhttps://doaj.org/article/ca38d5f92d364e358caf4f470ef8363b2015-01-01T00:00:00Zhttp://www.redalyc.org/articulo.oa?id=123041057006https://doaj.org/toc/1807-734XThis 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 the returns of the index’s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the model’s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.Emilio Ricardo CarvalhaisAntonio Marcos Duarte JúniorFUCAPE Business Schoolarticleimabpassive managementindexationntnbfixed incomeBusinessHF5001-6182ENPTBBR: Brazilian Business Review, Vol 12, Iss 3, Pp 116-142 (2015)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	ima b passive management indexation ntn b fixed income Business HF5001-6182
spellingShingle	ima b passive management indexation ntn b fixed income Business HF5001-6182 Emilio Ricardo Carvalhais Antonio Marcos Duarte Júnior Indexation of Fixed-Income Portfolios to the IMA-B
description	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 the returns of the index’s theoretical portfolio. The resulting model is a mathematical programming problem with convex objective function, linear constraints and free and non-negative integer variables. Five numerical examples with real data are presented to illustrate the model’s practical use. The results obtained from the fits are analyzed together with data for funds indexed to the IMA-B existing in the Brazilian financial market. The proposed method resulted in fits with optimal control of the tracking errors of the indexed portfolio.
format	article
author	Emilio Ricardo Carvalhais Antonio Marcos Duarte Júnior
author_facet	Emilio Ricardo Carvalhais Antonio Marcos Duarte Júnior
author_sort	Emilio Ricardo Carvalhais
title	Indexation of Fixed-Income Portfolios to the IMA-B
title_short	Indexation of Fixed-Income Portfolios to the IMA-B
title_full	Indexation of Fixed-Income Portfolios to the IMA-B
title_fullStr	Indexation of Fixed-Income Portfolios to the IMA-B
title_full_unstemmed	Indexation of Fixed-Income Portfolios to the IMA-B
title_sort	indexation of fixed-income portfolios to the ima-b
publisher	FUCAPE Business School
publishDate	2015
url	https://doaj.org/article/ca38d5f92d364e358caf4f470ef8363b
work_keys_str_mv	AT emilioricardocarvalhais indexationoffixedincomeportfoliostotheimab AT antoniomarcosduartejunior indexationoffixedincomeportfoliostotheimab
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Indexation of Fixed-Income Portfolios to the IMA-B

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