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
کلیدواژه‌ها
موضوعات
عنوان مقاله [English]
نویسندگان [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]
Alexander, C., & Dimitriu, A. (2005). Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10(3), 213-231.
Beasley, J. E., Meade, N., & Chang, T. J. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research,148(3), 621-643.
Besley, S., & Brigham, E. (2011). Principles of finance. Cengage Learning.
Fadaeinejad, E. (2002). Empirical Test of ETH in the Tehran Stock Exchange. Journal of financial research. 2 (5): 6-26. (in persian)
Fengmin X. Zhaosong L. & Zongben X. (2015) An efficient optimization approach for a cardinality-constrained index tracking problem, Optimization Methods and Software. (010), 2205-2224.
Fischer, D. E., & Jordan, R. J. (1975). Security analysis and portfolio management. Prentice Hall.
Frankfurter, G. M., & McGoun, E. G. (1996). Toward Finance with Meaning: The Methodology of Finance, what it is and what it Can be. Jai Press.
Gao, J., & Li, D. (2013). Optimal cardinality constrained portfolio selection.Operations research, 61(3), 745-761
Giannakouris, G., Vassiliadis, V., & Dounias, G. (2010). Experimental study on a hybrid nature-inspired algorithm for financial portfolio optimization. InArtificial Intelligence: Theories, Models and Applications (pp. 101-111). Springer Berlin Heidelberg.
Hanifi, F. Bahrololoum, M. & Javadi B. (2010). Design and comparative analysis of metaheiuristic algorithms to implement index-tracking investment in Tehran Stock Exchange .Journal of business management. 9 (32): 89-108. (in persian)
Jahankhani, A. Abdoh Tabrizi, H. (1994) .Efficient Capital Market Hypothesis. Journal of financial research. 1 (1): 7-23. (in persian)
Jahankhani, A. Parsanian, A. (1997). Stock Exchange. Tehran, University of Tehran press (UTP). (in persian)
Krink, T., Mittnik, S., & Paterlini, S. (2009). Differential evolution and combinatorial search for constrained index-tracking. Annals of Operations Research, 172(1), 153-176.
Maringer, D. G. (2006). Portfolio management with heuristic optimization(Vol. 8). Springer Science & Business Media.
Ruiz-Torrubiano, R., & Suárez, A. (2009). A hybrid optimization approach to index tracking. Annals of Operations Research, 166(1), 57-71.
Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal, 47(1), 7-9.
Sharpe, W. F., Alexander, G. J., & Bailey, J. V. (1999). Investments (Vol. 6). Upper Saddle River, NJ: Prentice-Hall.
Sinaei, H. (1994). Performance measurement in Tehran Stock Exchange. Journal of financial research. 1 (2): 46-70. (in persian)
Strong, R. (2008). Portfolio construction, management, and protection. Cengage Learning.
Varasei, M. & Shams, N. (2011). Providing a heiuristic soloution to optimize index tracking problem and implementing it in Tehran Stock Exchange (TEPIX). 8th International Management conference. Tehran.
Wu, D. (2011). An Index Tracking Model: One Application of Integer Programming. In Modeling Risk Management for Resources and Environment in China (pp. 77-82). Springer Berlin Heidelberg.
)
ارسال نظر در مورد این مقاله