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01306 am a22001693u 4500 |
| 001 |
36587 |
| 042 |
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|a dc
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| 100 |
1 |
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|a Varsei, Mohsen
|e author
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| 700 |
1 |
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|a Shams, Naser
|e author
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| 700 |
1 |
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|a Fahimnia, Behnam
|e author
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| 700 |
1 |
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|a Yazdanpanah, Abbas
|e author
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| 245 |
0 |
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|a A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index
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| 260 |
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|b Asian Academy of Management (AAM),
|c 2013.
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| 856 |
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|z Get fulltext
|u http://eprints.usm.my/36587/1/AAMJ180202.pdf
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|a Index tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an NP-Hard problem, and sophisticated approaches have been proposed in the literature to solve this problem. This paper presents an easyto-implement heuristic solution to this complex problem. The proposed approach was implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange Price Index. The numerical results indicate that the approach is able to identify quality solutions within reasonable model runtime.
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| 546 |
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|a en
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|a HD28-70 Management. Industrial Management
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