Analytic and Numerical Solution for Optimal Portfolio to Track Financial Indez*

摘要：

The optimal portfolio for tracking the financial index with return constraints is constructed. The analytic form of the optimal portfolio is obtained. It can be represented as a convex combination of three funds. So a Three Funds Theorem is thus proved。It is shown that the tracking error is a quadratic function of the return which is a parabola in the error-return plane. Finally, the numerical examples are given for the cases with or without short sell constraints respectively.

关键词： Tracking Indez Portfolio Quadratic Error Three Funds Theorem

作者: HU Yong YE Zhongxing WANG Ling

作者单位: School of Electronic, Information and Electrical Engineering, Jiao Tong University, Shanghai 200240 Department of Mathematics, Jiao Tong University, Shanghai 200240 Department of Mathematics, Jiao Tong University, Shanghai 200240 Arts and Science School, Shanghai D

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）