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1. Introduction Index tracking, also known as index replication, is a passive investment strategy that has gained popularity due to the higher costs associated with active investing and scepticism regarding the ability of active funds to outperform the market (see e.g., Rompotis (2013), Barber and Odean (2000)). Financial indices track the performance of a collection of financial assets or an overall market.
Preprint Article Version 1 This version is not peer-reviewed Version 1 : Received: 14 March 2024 / Approved: 14 March 2024 / Online: 14 March 2024 (15:15:15 CET) Hamilton-Russell, L.; O’Callaghan, T.M.; Savin, D.; Schlögl, E. Sequential Monte Carlo Optimization for Index Tracking with Transaction Costs. Preprints 2024, 2024030859. https://doi.org/10.20944/preprints202403.0859.v1 Hamilton-Russell, L.; O’Callaghan, T.M.; Savin, D.; Schlögl, E.
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