KMS Of Academy of mathematics and systems sciences, CAS
| An index tracking model with stratified sampling and optimal allocation | |
Wang, Meihua1; Xu, Fengmin2; Dai, Yu-Hong3
| |
| 2018-03-01 | |
| Source Publication | APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
 |
| ISSN | 1524-1904 |
| Volume | 34Issue:2Pages:144-157 |
| Abstract | 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. |
| Keyword | index tracking out-of-sample performance stratified sampling stratified hybrid genetic algorithm s-rar crossover |
| DOI | 10.1002/asmb.2287 |
| Language | 英语 |
| Funding Project | 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 Research Area | Operations Research & Management Science ; Mathematics |
| WOS Subject | Operations Research & Management Science ; Mathematics, Interdisciplinary Applications ; Statistics & Probability |
| WOS ID | WOS:000430002300007 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/30028 |
| Collection | 计算数学与科学工程计算研究所 |
| Corresponding Author | Xu, Fengmin |
| Affiliation | 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 |
| Recommended Citation 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. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment