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q-fin.CP2025
Enhanced indexation using both equity assets and index options
Cristiano Arbex Valle, John E Beasley
In this paper we consider how we can include index options in enhanced indexation. We present the concept of an \enquote{option strategy} which enables us to treat options as an ar…
q-fin.PM2025
Asset pre-selection for a cardinality constrained index tracking portfolio with optional enhancement
N. Meade, C. A. Valle, J. E. Beasley
Index trackers are important passive investments offering the return and risk of the market encapsulated by the index, the largest US index tracker was valued at $900 billion in ea…