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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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| Publicado no: | BBR - Brazilian Business Review |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
FUCAPE Business School
2015
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=123041057006 |
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