Building an index-tracking portfolio.
Seng Tiong. Poh, Sok Ping. Tay, Yong Hin. Tan · DR-NTU (Nanyang Technological University) · 2001
The aim of this paper is to explore the various ways in building index-tracking portfolio to mimic S&P 500 index. The paper also study the consistency and effectiveness of the various tracking performance measures.