A Survey of Alternative Equity Index Strategies

By Tzee-Man Chow, Jason C. Hsu, Vitali Kalesnik, Bryce Little. 2011

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/774f01789414e5fee8ad82505831d7ab1eac3c4d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Soumik Pal
2. Tristan Froidure
3. Yves Choueifaty
4. Julien Reynier

In Finance

1. Tristan Froidure
2. Julien Reynier
3. Soumik Pal
4. Yves Choueifaty
5. Ting-Kam Leonard Wong

Citations in the corpus

• Properties of the Most Diversified Portfolio (2013, background): “As such, there is no internal inconsistency as noted in Chow et al (2011), when assuming that single assets’ EERs are proportional to their volatilities and not those of portfolios.”
• The geometry of relative arbitrage (2014, background): “le and typically more diversified than the market portfolio, may serve as enhanced indexing strategies and alternative benchmarks; see Fernholz et al. [FGH98] and the more recent survey by Chow et al. [CHKL11] for other alternative indexing strategies. For a precise statement of this result and the d”