Bayesian Index Tracking: optimisation by sampling
University of Sheffield
School of Mathematical and Physical Sciences
Research Group:
Mathematical and Statistical Modelling
Index trackers (ETFs, index funds, index mutual funds) aim to replicate the return of a reference equity index while keeping implementation frictions---notably turnover and trading costs---under control. Read more
Supervisors: Dr K Triantafyllopoulos, Dr D Roxanas
Year round applications
PhD Research Project
Self-Funded PhD Students Only