حل مسئله ردیابی شاخص با استفاده از الگوریتم فراابتکاری ترکیبی کرم شب تاب

نوع مقاله: مقاله پژوهشی

نویسندگان

1 استاد، گروه صنایع دانشکده فنی و مهندسی، دانشگاه علم و صنعت، تهران، ایران

2 استادیار، دانشکده کارآفرینی دانشگاه تهران، تهران، ایران

3 دانشچوی دکتری، دانشکده فنی و مهندسی، دانشگاه علوم و تحقیقات، تهران، ایران

چکیده

سبد ردیاب شاخص، مدلی از سرمایه‌گذاری منفعل در بازار سرمایه است که با محبوبیت زیادی مواجه شده است. هدف از این نوع سرمایه‌گذاری‌، خرید سبد سهامی است که رفتاری مشابه شاخص دارد بدون آن که مجبور باشیم تمام سهام تشکیل دهنده شاخص را بخریم. محدودیت‌های مسئله شامل محدودیت کف و سقف سرمایه‌گذاری و همچنین محدودیت عدد صحیح تعداد سهام خریداری شده است. در این تحقیق از الگوریتم ترکیبی فراابتکاری کرم شب‌تاب برای حل مسئله بهره گرفته شده است. شاخص‌های مورد بررسی شاخص بورس اوراق بهادار تهران، S&P500  وHang Seng هستند. نتایج تحقیق، کارایی بالای این الگوریتم در ردیابی شاخص را نشان می‌دهد.

کلیدواژه‌ها

موضوعات


عنوان مقاله [English]

Index tracking problem solving using metaheuristic firefly algorithm

نویسندگان [English]

  • Seyyed Jafar Sajadi 1
  • seyyed mojtaba Sajadi 2
  • malihe sabzevari 3
1 Prof., Faculty of engineering, science and technology university, Tehran, Iran
2 Assistant Prof., Faculty of Entrepreneurship, Tehran university, Tehran, Iran
3 Ph.D. Student in industrial engineering, Faculty of engineering, Islamic Azad University ,science and research branch , Tehran, Iran
چکیده [English]

Index tracking portfolio is a form of investment that is faced with popularity. This problem is the choice of a portfolio that replicates the performance of a stock market index by purchasing a subset of the stocks included in the index. Due to the large number of companies that create the index, the choice of limited number of stocks is a combinatorial problem that cannot be solved in polynomial time. There is a cardinality constraint, includes the number of stocks in portfolio and also minimum and maximum holding level for every stock is a constraint in this problem. In order to solve NP-Hard optimization problems, metaheuristic algorithms have proven their efficiency. In this study, an intelligent metaheuristic, which utilizes the firefly algorithm, is presented for solving the index tracking problem. Proposed approach was applied to the S&P500 index, the Hang Seng and the Tehran Stock Exchange. The results indicate the efficiency of the scheme.

کلیدواژه‌ها [English]

  • Firefly algorithm
  • index tracking
  • passive investment management
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