Index tracking with fixed and variable transaction costs

被引：10

作者：

Mezali, H. ^{[1
]}

Beasley, J. E. ^{[1
]}

机构：

[1] Brunel Univ, Uxbridge UB8 3PH, Middx, England

来源：

OPTIMIZATION LETTERS | 2014年 / 8卷 / 01期

关键词：

Index tracking; Transaction cost; DIFFERENTIAL EVOLUTION; KERNEL SEARCH; OPTIMIZATION;

D O I：

10.1007/s11590-012-0534-0

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Index tracking is a form of passive portfolio (fund) management that attempts to mirror the performance of a specific index and generate returns that are equal to those of the index, but without purchasing all of the stocks that make up the index. We present two mixed-integer linear programming formulations of this problem. In particular we explicitly consider both fixed and variable transaction costs. Computational results are presented for data sets drawn from major world markets.

引用

收藏

页码：61 / 80

页数：20

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