基于优化模型的交易所交易基金投资组合建模

L. Kenneth, K. Lai, Kaijian He
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引用次数: 1

摘要

近年来,交易所交易基金已成为一种重要的投资选择,兼具低风险和高流动性的优势。etf的构建和积极管理是挖掘其潜力的核心问题。本文运用Markowitz投资组合优化模型进行实证研究,构建新兴市场的最优ETF投资组合。我们发现,与基准市场指数相比,所提出的方法改善了投资组合的绩效。性能对所选择的优化准则和所使用的优化参数很敏感。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Modeling Exchange Traded Funds Portfolio Using Optimization Model
In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.
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