Developing and Maintaining an Equity Index Fund
作者:
MeadeNigel,
SalkinGerald R.,
期刊:
Journal of the Operational Research Society
(Taylor Available online 1990)
卷期:
Volume 41,
issue 7
页码: 599-607
ISSN:0160-5682
年代: 1990
DOI:10.1057/jors.1990.84
出版商: Taylor&Francis
关键词: index funds;investment;portfolio;quadratic programming
数据来源: Taylor
摘要:
AbstractAn index fund is a portfolio of shares designed to replicate the investment performance of a market index. The index represents the behaviour of the market as a whole. This paper describes the selection of an index fund which minimizes expected tracking error. Using a multivariate model of returns on shares, a development of a univariate model by Taylor, the selection problem is formulated as a quadratic programme. The effects of various constraints on tracking error are demonstrated. Several policies for the readjustment of a fund are examined in the context of the differing objectives of fund managers. As a general rule, regular readjustment is shown to be a more expensive policy than irregular updating.
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