Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management

被引：0

作者：

Ulrich Derigs

Nils-H. Nickel

机构：

[1] Sem. for Info. Syst./Oper. Research, University of Cologne, 50969 Köln

来源：

OR Spectrum | 2003年 / 25卷 / 3期

关键词：

Decision support system; Index tracking; Meta-heuristics; Portfolio management; Simulated annealing;

D O I：

10.1007/s00291-003-0127-5

中图分类号：

学科分类号：

摘要：

In this paper we describe the concept and design of a meta-heuristic based decision support system generator (DSS-generator) for portfolio optimization. We report extensively on experience with the application of a specific DSS that has been customized for controlling and optimizing passively managed stock funds. Here, the constraints from the law on investment trust companies as well as several fund specific guidelines prohibit that the benchmark can be identically reproduced. For measuring the performance of the portfolio a tracking error model with data stemming from a factor model is applied. Our results show that the system provides proposals for the fund manager in acceptable time which are feasible with respect to the guidelines and excellent in quality.

引用

页码：345 / 378

页数：33

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