Tracking a Financial Benchmark Using a Few Assets
Tracking a Financial Benchmark Using a Few Assets
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DOI：
10.1287/opre.1050.0260
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发表时间：
2006-03
期刊：
影响因子：
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通讯作者：
D. Yao;Shuzhong Zhang;X. Zhou
中科院分区：
文献类型：
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作者：
D. Yao;Shuzhong Zhang;X. Zhou
我们通过动态管理由市场上少量交易股票组成的投资组合来研究跟踪金融基准（连续复合增长率）或股票市场指数的问题。无论哪种情况，我们都将跟踪问题表述为随机线性二次控制（SLQ）的一个实例，涉及不定成本矩阵。由于 SLQ 公式涉及无限范围内的贴现目标，因此我们首先解决稳定性问题。然后，我们使用半定规划（SDP）作为计算工具来生成最优反馈控制。我们提供了涉及香港和纽约证券交易所交易的股票的数值示例，以说明该模型的各种特征及其性能。
We study the problem of tracking a financial benchmarka continuously compounded growth rate or a stock market indexby dynamically managing a portfolio consisting of a small number of traded stocks in the market. In either case, we formulate the tracking problem as an instance of the stochastic linear quadratic control (SLQ), involving indefinite cost matrices. As the SLQ formulation involves a discounted objective over an infinite horizon, we first address the issue of stabilizability. We then use semidefinite programming (SDP) as a computational tool to generate the optimal feedback control. We present numerical examples involving stocks traded at the Hong Kong and New York Stock Exchanges to illustrate the various features of the model and its performance.