An application to the index tracking problem.pdf

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1、EuropeanJournalofOperationalResearch217(2012)54–68ContentslistsavailableatSciVerseScienceDirectEuropeanJournalofOperationalResearchjournalhomepage:www.elsevier.com/locate/ejorDiscreteOptimizationKernelSearch:AnapplicationtotheindextrackingproblemG.Guastaroba⇑,M.G.SperanzaDepartmento

2、fQuantitativeMethods,C.daS.Chiara50,UniversityofBrescia,Brescia,ItalyarticleinfoabstractArticlehistory:Inthispaperwestudytheproblemofreplicatingtheperformancesofastockmarketindex,i.e.theso-Received28July2010calledindextrackingproblem,andtheproblemofout-performingamarketindex,i.e.the

3、so-calledAccepted5September2011enhancedindextrackingproblem.Weintroducemixed-integerlinearprogramming(MILP)formulationsAvailableonline22September2011forthesetwoproblems.Furthermore,wepresentaheuristicframeworkcalledKernelSearch.Weanalyzeandevaluatethebehaviorofseveralimplementations

4、oftheKernelSearchframeworktothesolutionofKeywords:theindextrackingproblem.WeshowtheeffectivenessandefficiencyoftheframeworkcomparingtheIndextrackingperformancesoftheseheuristicswiththoseofageneral-purposesolver.ThecomputationalexperimentsEnhancedindextrackingarecarriedoutusingbenchma

5、rkandnewlycreatedinstances.Mixed-integerlinearprogrammingHeuristicframeworkÓ2011ElsevierB.V.Allrightsreserved.1.Replicatingandout-performingamarketindex:literaturethemarketindexintheexactsameproportion.However,fullrep-reviewlicationhasseveraldisadvantages.Firstly,certainstocksarepre

6、s-entinverysmallquantitiesinthemarketindex,andthereforeinFundmanagementinvolvestheinvestmentofcapitalonequi-themanagedportfolio.Thepurchaseofthesesmallquantitiestiesissuedbycompaniesquotedinstockmarkets.Theaimofacanimplythepaymentofhightransactioncosts.Secondly,whenfundmanageristosi

7、gnificantlymaketheinitialcapitalgrowovertheunderlyingcompositionofthemarketindexisrevised,thethemedium/longterm.Evenifthepossiblealternativesaremany,transactioncostsimpliedbythepurchaseandsaleofstocks,donethestrategiesimplementedbymostofthefundmanagerscanbeinordertoreplicatetheindex,

8、maybehigh.Thirdly,w