An index tracking model with stratified sampling and optimal allocation

doi:10.1002/asmb.2287

	An index tracking model with stratified sampling and optimal allocation
	Wang, Meihua 1; Xu, Fengmin 2; Dai, Yu-Hong3
	2018-03-01
发表期刊	APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
ISSN	1524-1904
卷号	34 期号:2 页码:144-157
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.
关键词	index tracking out-of-sample performance stratified sampling stratified hybrid genetic algorithm s-rar crossover
DOI	10.1002/asmb.2287
语种	英语
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
WOS类目	Operations Research & Management Science ; Mathematics, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000430002300007
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/30028
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.