An evolutionary heuristic for the index tracking problem
An evolutionary heuristic for the index tracking problem
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DOI：
10.1016/s0377-2217(02)00425-3
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发表时间：
2003-08-01
影响因子：
6.4
通讯作者：
Chang, TJ
中科院分区：
文献类型：
--
作者：
Beasley, JE;Meade, N;Chang, TJ
指数跟踪是一种流行的被动基金管理方式。指数跟踪问题是再现股票市场指数表现的问题，但不购买构成该指数的所有股票。我们对这个问题的表述明确地包括交易成本（与买卖股票有关）和可能发生的总交易成本的限制。我们的公式还包括限制可以购买的股票数量的约束。提出了一种求解索引跟踪问题的进化启发式算法（种群启发式算法）。还给出了还原试验。给出了来自世界主要市场的五个数据集的计算结果。这些数据集是公开的，可供其他工作人员使用。(C) 2002 Elsevier Science B.V.版权所有
Index tracking is a popular form of passive fund management. The index tracking problem is the problem of reproducing the performance of a stock market index, but without purchasing all of the stocks that make up the index. Our formulation of the problem explicitly includes transaction costs (associated with buying or selling stocks) and a limit on the total transaction cost that can be incurred. Our formulation also includes a constraint limiting the number of stocks that can be purchased.An evolutionary heuristic (population heuristic) is presented for the solution of the index tracking problem. Reduction tests are also presented. Computational results are presented for five data sets drawn from major world markets. These data sets are made publicly available for use by other workers. (C) 2002 Elsevier Science B.V. All rights reserved.