This paper deals with formulation of Partially Replicating Index Tracking Portfolio with the use of cointegration. The paper is partly a replication of Christian L. Dunis & Richard Ho (2005) [publishe
There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Ve
