Document Type : Research Paper
Authors
Abstract
In this study, the strategy of effective asset allocation under uncertainty with the capability of risk control, transaction cost reduction and favorable return realization is investigated. In order to implement this strategy and to overcome the shortfalls of classic portfolio optimization models in dealing with uncertainty, the formation of an index fund using a robust approach and considering cardinality constraint became the agenda. Accordingly, in order to solve the index tracking problem, a linear programming model as minimizing the absolute deviation between the expected return of the index fund and that of the benchmark is presented. Considering the dimension of the solution space, a Meta heuristic genetic algorithm was implemented to solve the robust counterpart of the problem. The results of the analysis imply on the selection of 20 stocks as the index fund composition and indicate good performance of the index tracking funds based on criteria such as correlation, root mean square error and the excess return using out of sample data.
Keywords
ابتکاری جهت انتخاب پورتفوی بهینه ردیابیکننده شاخص بورس تهران، تحقیقا حسابداری،
- .47 20 ، شماره 17
حنیفی، فرهاد؛ بحرالعلوم، محمد مهدی؛ جوادی، بابک ) 1777 (، طراحی و تحلیل مقایسهای
الگوریتمهای فرا ابتکاری جهت پیاده سازی سرمایه گذاری شاخصمحور در بورس تهرا ؛ ن چشم
- .107 75 ، انداز مدیریت، 72
سیفی، عباس؛ حنفیزاده، پیام؛ نوابی، حمیدرضا) 1777 (، مدل یکپارچه استوار در مسأله
- .55 31 ، انتخاب سهام تکدوره ای؛ تحقیقا مالی، 13
قرهخانی، محس ؛ سجادی، سید جعفر؛ صفری، احرام ) 1752 (، بهینه سازی استوار سبد مالی با
رویکرد CAPM - .07 01 ، ، مدیریت تولید و عملیا ، دوره چهارم، پیاپی 0، شماره 1
فلاح شمس لیالستانی، میرفیض؛ امیری، مقصود؛ بحرالعلوم، محمد مهدی؛ قره خانی، محس
1754 (، ارائه مدلی جهت پیاده سازی سرمایه گذاری هسته پیرو در بورس تهران با استفاده از - (
رویکرد ترکیبی الگوریتم های دقیق و فراابتکار ، ی فصل نامه دانش سرمایه گذاری، مقاله پذیرش
. شده، چاپ در شماره 15 ، پائیز 54
مدرس یزدی، محمد؛ حس زاده منفرد، مریم ) 1777 (، مدل استوار بهینه سازی سبد مالی دارای
- - .102 57 ، 23 ، شماره 1 اختیار معامله، مهندسی صنایع و مدیریت شریف، دوره 1
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