Title of article :
A HEURISTIC APPROACH TO THE INDEX TRACKING PROBLEM: A CASE STUDY OF THE TEHRAN EXCHANGE PRICE INDEX
Author/Authors :
Varsei, Mohsen amirkabir university of technology - Department of Industrial Engineering, تهران, ايران , Shams, Naser amirkabir university of technology - Department of Industrial Engineering, تهران, ايران , Fahimnia, Behnam University of South Australia - School of Management, Australia , Yazdanpanah, Abbas amirkabir university of technology - Department of Computer Information Technology Engineering, تهران, ايران
Abstract :
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 easy-to-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.
Keywords :
index tracking , portfolio selection , fund management , heuristic approach
Journal title :
Asian Academy of Management Journal
Journal title :
Asian Academy of Management Journal
