Roland Jeurissen

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Assuming the market is efficient, an obvious portfolio management strategy is passive where the challenge is to track a certain benchmark like a stock index. The goal of the passive strategy is to achieve equal returns and risks. In this paper, we investigate an approach for tracking the Dutch AEX index where an optimal tracking portfolio (consisting of a(More)
Assuming the market is efficient, an obvious portfolio management strategy is passive where the challenge is to track a certain benchmark like a stock index such that equal returns and risks are achieved. A tracking portfolio consists of a (usually small) weighted subset of stock funds. The weights are supposed to be positive here which means that short(More)
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