| 苏治,蔡腾腾,马泽伟.一种改进的不完全指数复制方法[J].数量经济技术经济研究,2013,30(6):149-160 |
| 一种改进的不完全指数复制方法 |
| An improved Solution of Incomplete Index Tracking Problem |
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| DOI： |
| 中文关键词: 指数复制 内核搜索法 线性规划 投资组合 股指期货 |
| 英文关键词: Index Tracking Kernel Search Linear Programming Investment Portfolio Stock Index Futures |
| 基金项目: |
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| 中文摘要: |
| 本文在考虑交易成本和投资组合动态调整的基础上，建立混合整数线性规划模型，引入内核搜索分析框架进行近似求解，并利用沪深300进行实证研究。研究发现，一是相比于基本内核搜索法，增强型内核搜索法仅在基准指数成分股数量很大时才会较大幅度提高求解质量；二是考虑投资组合动态调整的模型不仅更稳健，而且跟踪的继承性和保持性更好，尤其适用于单边市场；三是过度刻画现实交易特征一定程度上会降低不完全指数复制模型的复制和预测效果。 |
| 英文摘要: |
| This paper establishes a mixed-integer linear programming model considering transaction cost and portfolio rebalance, introduces basic and enhanced kernel search for approximate solving and uses the CSI 300 index for empirical research. The main conclusions are as follows: firstly, in comparison to basic kernel search, only when the number of index constituents is very large, will enhanced method make a substantial improvement in solution quality; secondly, the model considering portfolio rebalance is not only more robust but also better in index-tracking succession and retention than the model that not, especially in unilateral market; thirdly, excessive consideration of real-life features in index tracking problem may reduce the efficiency of replication and prediction to some degree. |
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