• DocumentCode
    693888
  • Title

    Modeling Exchange Traded Funds Portfolio Using Optimization Model

  • Author

    Kenneth, Lo Ka Kuen ; Kin Keung Lai ; Kaijian He

  • Author_Institution
    Dept. of Manage. Sci., City Univ. of Hong Kong, Kowloon Tong, China
  • fYear
    2013
  • fDate
    14-16 Nov. 2013
  • Firstpage
    201
  • Lastpage
    205
  • Abstract
    In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.
  • Keywords
    commerce; investment; optimisation; Markowitz portfolio optimization model; exchange traded fund portfolio; investment; optimal ETF portfolio; portfolio performance; Benchmark testing; Educational institutions; Indexes; Investment; Optimization; Portfolios; Standards; Exchange Traded Funds; Markowitz Portfolio Optimization; Standard Deviation;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Business Intelligence and Financial Engineering (BIFE), 2013 Sixth International Conference on
  • Conference_Location
    Hangzhou
  • Print_ISBN
    978-1-4799-4778-2
  • Type

    conf

  • DOI
    10.1109/BIFE.2013.43
  • Filename
    6961121