Index Tracking Method Based on the Bootstrap Simulation Technology and Its Empirical Study

摘要：

The assets allocation approach of the index tracking portfolio is one of the important factors for the performance of index tracking. In this paper, the Bootstrap simulation technology is used to improve the structure of assets allocation of index tracking portfolio, which is depended on the optimized index tracking method, for the better performance of index tracking. The empirical results shows that the performance of index tracking based on the Bootstrap simulation technology is better than that of the optimization method. The main advantage of the index tracking method based on the Bootstrap simulation technology is that it can tackle the index tracking problem as complex as it is, generating accurate and robust results.

关键词： index tracking tracking error Bootstrap simulation technology

作者: Li Jianfu Zhou Shuna

作者单位: School of Statistics Southwest University of Finance and Economics Chengdu 610074, China

会议类型: 国际会议

会议名称: Third International Symposium on Information Science and Engineering(第三届信息科学与工程国际会议 ISISE 2010)

会议地点: 上海

会议语种:英文

页码: 188-192

在线出版日期: 2010-12-24（万方平台首次上网日期，不代表论文的发表时间）