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An index tracking model with stratified sampling and optimal allocation
Wang, Meihua1; Xu, Fengmin2; Dai, Yu-Hong3
2018-03-01
Source PublicationAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
ISSN1524-1904
Volume34Issue:2Pages:144-157
AbstractThis 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.
Keywordindex tracking out-of-sample performance stratified sampling stratified hybrid genetic algorithm s-rar crossover
DOI10.1002/asmb.2287
Language英语
Funding ProjectNational 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 Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Interdisciplinary Applications ; Statistics & Probability
WOS IDWOS:000430002300007
PublisherWILEY
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30028
Collection计算数学与科学工程计算研究所
Affiliation1.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
Recommended Citation
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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.
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