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
From page
19
To page
34
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
Record number
2546586
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