中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 计算数学与科学工程计算研究所
An index tracking model with stratified sampling and optimal allocation

文献类型：期刊论文

作者Wang, Meihua1; Xu, Fengmin2; Dai, Yu-Hong3
刊名APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
出版日期2018-03-01
卷号34期号:2页码:144-157
关键词index tracking out-of-sample performance stratified sampling stratified hybrid genetic algorithm s-rar crossover
ISSN号1524-1904
DOI10.1002/asmb.2287
英文摘要This paper investigates the portfolio strategy problem for passive fund management. We propose a novel portfolio strategy that combines the existing stratified strategy and optimized sampling strategy. The proposed method enables one to include adequate practical information in portfolio decision making, and promotes better out-of-sample performance. A mixed-integer program model is built that captures the stratification information, the cardinality requirement, and other practical constraints. The corresponding model is able to forecast and generate optimal tracking portfolios with high performance, especially in out-of-sample time period. As mixed-integer program is a well-known NP-hard problem, to tackle the computational challenge, we propose a stratified hybrid genetic algorithm, in which a novel crossover operator is introduced. To evaluate the proposed strategy and algorithm, we conduct numerical tests on real data sets collected from China Stock Exchange Markets. The experimental results show that the algorithm runs efficiently and the portfolio strategy performs significantly better than other existing strategies.
资助项目National Natural Science Foundation of China[71501155] ; National Natural Science Foundation of China[71201121] ; National Natural Science Foundation of China[11571271] ; National Natural Science Foundation of China[11631013] ; National Natural Science Foundation of China[11331012] ; National Natural Science Foundation of China[71331001] ; Postdoctoral Science Foundation of China[2014T70908] ; National Funds for Distinguished Young Scientists[11125107] ; National 973 Program of China[2015CB856000]
WOS研究方向Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000430002300007
出版者WILEY
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/30027]  
专题计算数学与科学工程计算研究所
通讯作者Xu, Fengmin
作者单位1.Xidian Univ, Sch Econ & Management, Xian 710071, Peoples R China
2.Xi An Jiao Tong Univ, Sch Econ & Finance, Xian 710071, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Meihua,Xu, Fengmin,Dai, Yu-Hong. An index tracking model with stratified sampling and optimal allocation[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,2018,34(2):144-157.
APA Wang, Meihua,Xu, Fengmin,&Dai, Yu-Hong.(2018).An index tracking model with stratified sampling and optimal allocation.APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,34(2),144-157.
MLA Wang, Meihua,et al."An index tracking model with stratified sampling and optimal allocation".APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 34.2(2018):144-157.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。