Optimal Cash Percentage Interval in Index Funds
The goal of index fund management is minimize the tracking error, however, the variation of cash percentage affects tracking performance. We extend the application of Leland and Connors theory model about optimal cash percentage. With Monte Carlo simulation we can obtain the optimal low limits and up limits of cash percentage, while Leland and Connor only got the formula of up limits. With the same initial parameters, the results got by Monte Carlo simulation and formula are consistent. In practice, precision of optimal cash percentage is not very important, so Monte Carlo method would be satisfied. Finally, we explore the cash percentage of index funds in China market.
index funds cash percentage optimal interval monte carlo simulation
ANG Huihui
The School of Statistics, Renmin University of China, P.R.China, 100872
国际会议
威海
英文
485-489
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）