基于混合模型的指数基金优化：遗传算法和混合整数非线性规划

IF 1 4区经济学 Q4 BUSINESS

Engineering Economist Pub Date : 2019-07-03 DOI:10.1080/0013791X.2019.1633450

J. Díaz, M. Cortés, Juan C. Hernandez, Óscar Clavijo, Carlos J. Ardila, Sergio Cabrales

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引用次数: 10

摘要

摘要指数基金是股票的一个子集，是一个指数跟踪组合，包含在市场指数中。指数跟踪投资组合旨在匹配基准指数的表现。在本文中，我们提出了一个混合模型来解决多时期指数跟踪问题，其中包括再平衡问题，交易成本，股票数量限制，以及行业，市值和股票权重的多样化。该混合模型将遗传算法用于指数跟踪组合的股票选择和混合整数非线性规划(MINLP)用于权重估计相结合。最后，我们将提出的混合模型应用于标准普尔500指数，以找到包含这些约束的指数跟踪投资组合。结果表明，我们的混合模型能够创建收益率与市场指数相近且风险显著降低的指数基金。

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Index fund optimization using a hybrid model: genetic algorithm and mixed-integer nonlinear programming

Abstract Index funds consist of a subset of stocks, an index tracking portfolio, included in the market index. The index tracking portfolio aims to match the performance of the benchmark index. In this paper, we propose a hybrid model for solving the multiperiod index tracking problem, which includes rebalancing concerns, transaction costs, limits on the number of stocks, and diversification by sector, market capitalization, and stock weight. Our hybrid model combines the genetic algorithm (GA) to select stocks of the index tracking portfolio and mixed-integer nonlinear programming (MINLP) to estimate its weights. Finally, we apply our proposed hybrid model to the S&P500 to find an index tracking portfolio that includes those constraints. The results show that our hybrid model is able to create an index fund whose return rate is similar to the market index with significantly lower risk.

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来源期刊

Engineering Economist ENGINEERING, INDUSTRIAL-OPERATIONS RESEARCH & MANAGEMENT SCIENCE

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Engineering Economist is a refereed journal published jointly by the Engineering Economy Division of the American Society of Engineering Education (ASEE) and the Institute of Industrial and Systems Engineers (IISE). The journal publishes articles, case studies, surveys, and book and software reviews that represent original research, current practice, and teaching involving problems of capital investment. The journal seeks submissions in a number of areas, including, but not limited to: capital investment analysis, financial risk management, cost estimation and accounting, cost of capital, design economics, economic decision analysis, engineering economy education, research and development, and the analysis of public policy when it is relevant to the economic investment decisions made by engineers and technology managers.