A partial basket is a subset of an index’s constituents, with weights chosen to track the index as closely as possible, traded in place of the full basket to save time and cost at the price of tracking error.
Quantitative Finance · Begrippenlijst
Quantitative Finance · Begrippenlijst
A partial basket is a subset of an index’s constituents, with weights chosen to track the index as closely as possible, traded in place of the full basket to save time and cost at the price of tracking error.