New answers tagged index
3
It would have been helpful had you provided links to those papers.
But in general,
you need to distinguish between the optimisation
model, and the numerical technique used to solve
the model.
Suppose you wanted to estimate a linear regression,
with the mean squared residual as the criterion of fit,
and without further constraints. This is a model. Now
you ...
1
In the U.S., the convention is not to consider taxes in total return stock indices such as the S&P 500.
The reason why this is traditionally done this way is that much of the buy-side are various kinds of pension funds who don't need to think about taxes.
Someone who does need to think about taxes just has more moving parts to worry about.
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