Index Tracking Method Based on the Bootstrap Simulation Technology and Its Empirical Study

Abstract

The assets allocation approach of the index tracking portfolio is one of the important factors for the performance of index tracking. In this paper, the Bootstrap simulation technology is used to improve the structure of assets allocation of index tracking portfolio, which is depended on the optimized index tracking method, for the better performance of index tracking. The empirical results shows that the performance of index tracking based on the Bootstrap simulation technology is better than that of the optimization method. The main advantage of the index tracking method based on the Bootstrap simulation technology is that it can tackle the index tracking problem as complex as it is, generating accurate and robust results.