Threshold Accepting for Index Tracking
Threshold Accepting for Index Tracking
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发表时间：
2001-04
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通讯作者：
Manfred Gilli and Evis Kellezi
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作者：
Manfred Gilli and Evis Kellezi
在本文中，我们研究了索引跟踪问题的阈值接受启发式的性能。指数跟踪问题在于最小化投资组合和基准之间的跟踪误差。目标是在投资组合中允许的股票数量小于基准指数中的股票数量的情况下复制给定指数的表现。投资组合中的股票数量是整数。每次重新平衡投资组合时都必须面对交易成本。我们找到最能跟踪过去特定时期基准表现的投资组合的构成，然后观察该投资组合在后续时期的表现。我们报告基准是少数资产跟踪的市场指数的情况下的计算结果。我们发现阈值接受是解决该问题的一种非常合适且有效的优化技术。
In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the condition that the number of stocks allowed in the portfolio is smaller than the number of stocks in the benchmarking index. The quantities of stocks in the portfolio are integers. Transaction costs have to be faced each time that the portfolio is rebalanced. We find the composition of a portfolio that best tracks the performance of the benchmark during a given period in the past and then look at the performance of the portfolio in the subsequent period. We report computational results in the cases where the benchmarks are market indices tracked by a small number of assets. We find that the threshold accepting is a very suitable and efficient optimization technique for this problem.