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: | , |
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| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
FUCAPE Business School
2015
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/ca38d5f92d364e358caf4f470ef8363b |
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