A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index
Index tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an...
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| Format: | Article |
| Language: | en |
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Asian Academy of Management (AAM)
2013
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| Online Access: | http://eprints.usm.my/36587/1/AAMJ180202.pdf http://eprints.usm.my/36587/ http://web.usm.my/aamj/18012013/AAMJ180202.pdf |
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| author | Varsei, Mohsen Shams, Naser Fahimnia, Behnam Yazdanpanah, Abbas |
| author_facet | Varsei, Mohsen Shams, Naser Fahimnia, Behnam Yazdanpanah, Abbas |
| author_sort | Varsei, Mohsen |
| building | Hamzah Sendut Library |
| collection | Institutional Repository |
| content_provider | Universiti Sains Malaysia |
| content_source | USM Institutional Repository |
| continent | Asia |
| country | Malaysia |
| description | Index tracking, the most popular form of passive fund management, is a portfolio
selection problem in which the return of one of the stock market indexes is reproduced by
creating a tracking portfolio consisting of a subset of the stocks included in the index.
Index tracking has been known as an NP-Hard problem, and sophisticated approaches
have been proposed in the literature to solve this problem. This paper presents an easyto-implement heuristic solution to this complex problem. The proposed approach was
implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange
Price Index. The numerical results indicate that the approach is able to identify quality
solutions within reasonable model runtime. |
| format | Article |
| id | my.usm.eprints.36587 |
| institution | Universiti Sains Malaysia |
| language | en |
| publishDate | 2013 |
| publisher | Asian Academy of Management (AAM) |
| record_format | eprints |
| spelling | my.usm.eprints.36587 http://eprints.usm.my/36587/ A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index Varsei, Mohsen Shams, Naser Fahimnia, Behnam Yazdanpanah, Abbas HD28-70 Management. Industrial Management Index tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an NP-Hard problem, and sophisticated approaches have been proposed in the literature to solve this problem. This paper presents an easyto-implement heuristic solution to this complex problem. The proposed approach was implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange Price Index. The numerical results indicate that the approach is able to identify quality solutions within reasonable model runtime. Asian Academy of Management (AAM) 2013 Article PeerReviewed application/pdf en http://eprints.usm.my/36587/1/AAMJ180202.pdf Varsei, Mohsen and Shams, Naser and Fahimnia, Behnam and Yazdanpanah, Abbas (2013) A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index. Asian Academy of Management Journal (AAMJ), 18 (1). pp. 1-16. ISSN 1394-2603 http://web.usm.my/aamj/18012013/AAMJ180202.pdf |
| spellingShingle | HD28-70 Management. Industrial Management Varsei, Mohsen Shams, Naser Fahimnia, Behnam Yazdanpanah, Abbas A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index |
| title | A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index |
| title_full | A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index |
| title_fullStr | A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index |
| title_full_unstemmed | A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index |
| title_short | A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index |
| title_sort | heuristic approach to the index tracking
problem: a case study of the tehran
exchange price index |
| topic | HD28-70 Management. Industrial Management |
| url | http://eprints.usm.my/36587/1/AAMJ180202.pdf http://eprints.usm.my/36587/ http://web.usm.my/aamj/18012013/AAMJ180202.pdf |
| url_provider | http://eprints.usm.my/ |