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008			230719b |||||||| |||| 00| 0 eng d
022			_a13504851
040			_aMSU _cMSU _erda _bEnglish
050	0	0	_aHB1.A666 APP
100	1		_aThomaidis, Nikolaos S. _eauthor
245	1	0	_aOn the application of cointegration analysis in enhanced indexing/ _ccreated by Nikolaos S. Thomaidis
264	1		_aNew York: _bTaylor and Francis, _c2013.
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aApplied economics letters _vVolume 20, number 4
520	3		_aWe 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			_aEnhanced indexation _vLong short market neutral strategies _xCointegration
856			_uhttps://doi.org/10.1080/13504851.2012.705420
942			_2lcc _cJA
999			_c162936 _d162936