Portfolio optimization models for enhanced index investment
碩士 === 國立政治大學 === 應用數學研究所 === 98 === Setting up an index fund usually uses techniques of index-tracking that choosing few stocks forming a portfolio to obtain the same return rate as the benchmark index. Similarly we can use the same concept to set up a portfolio such that the performance is better...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12486939618119544503 |
| Summary: | 碩士 === 國立政治大學 === 應用數學研究所 === 98 === Setting up an index fund usually uses techniques of index-tracking that choosing few stocks forming a portfolio to obtain the same return rate as the benchmark index. Similarly we can use the same concept to set up a portfolio such that the performance is better than index’s. In this thesis we use index-tracking methods and minimax rule to obtain a portfolio which outperforms the benchmark index. In the proposed mathematical model we will consider the transaction costs, integer trading unit volume, and the total number of assets in the portfolio. Therefore the resulting model is a mixed integer nonlinear programming including integer variables and binary variables. Finally, the empirical study will be performed by using the data from the Taiwan stock market to verify the performance of our model. The empirical study shows that the portfolios created by our models outperform the benchmark index up to 25% in average.
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