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Enhancing index-tracking performance: Leveraging characteristic-based factor models for reduced estimation errors
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DOI：10.1016/j.ejor.2025.08.043.png)
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Abstract
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• New optimization framework reduces tracking error by minimizing estimation uncertainty. • Characteristics-based factor models outperform traditional methods in tracking portfolios. • Linear formulations are preferred for simplicity and stability in index-tracking applications. • Consistent performance across indices, time periods, and transaction cost scenarios. • Optimal factor model specifications minimize complexity while maximizing tracking accuracy.
Keywords:
Tracking-portfolios
Financial models
Characteristic-based factor models
Tracking error
Transaction Costs
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