MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01431nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20240425102038.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
230719b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
13504851 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| Language of cataloging |
English |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB1.A666 APP |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Thomaidis, Nikolaos S. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
On the application of cointegration analysis in enhanced indexing/ |
| Statement of responsibility, etc. |
created by Nikolaos S. Thomaidis |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New York: |
| Name of producer, publisher, distributor, manufacturer |
Taylor and Francis, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Applied economics letters |
| Volume/sequential designation |
Volume 20, number 4 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
We investigate the application of cointegration techniques in designing trading portfolios that outperform a market benchmark. Of particular interest is the situation of enhanced indexation with incomplete portfolios, that is, by imposing a limit on the maximum number of assets included in the portfolio. We present a technique for solving cardinality-constrained portfolio selection problems using cointegration analysis. We investigate the empirical performance of cointegration-based trading strategies in the context of benchmarking portfolios relative to a common stock market index. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Enhanced indexation |
| Form subdivision |
Long short market neutral strategies |
| General subdivision |
Cointegration |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1080/13504851.2012.705420 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |