Improving Index-Tracking Using Gnetic Algorithm
碩士 === 國立中央大學 === 財務金融研究所 === 91 === Abstract Index-tracking problem used to be defined as to construct a constant-weight rebalanced portfolio to chase target index. Since index itself is a buy-and-hold portfolio, we argue that instead of building a constant-weighted tracking portfolio, to con...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/55806093341689883657 |