TO CONSTITUTE INDEX FUND USING SIMULATED ANNEALING ALGORITHM AND GENETIC ALGORITHM

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ABAASI EBRAHIM; AKBARI SAMAD

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:20 Page(s): 167-180

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Information Journal Paper

Title

TO CONSTITUTE INDEX FUND USING SIMULATED ANNEALING ALGORITHM AND GENETIC ALGORITHM

Author(s)

ABAASI EBRAHIM | AKBARI SAMAD | Issue Writer Certificate

Keywords

INDEX FUNDQ2

PORTFOLIOQ2

GENETIC ALGORITHMQ2

SIMULATED ANNEALING ALGORITHMQ1

Abstract

The purpose of this study is constitute INDEX FUND using SIMULATED ANNEALING ALGORITHM and GENETIC ALGORITHM. INDEX FUNDs are PORTFOLIOs which design to decrease the transactions costs to provide return near to the market return by investing in a few number of the index constitutive items. This study is sought to examine the relationship between tracking error and the number of constituent stocks of the fund, also this study will be checked out the performance of the SIMULATED ANNEALING ALGORITHM in comparison of GENETIC ALGORITHM to form of an INDEX FUND. In this study, the priority function will be used for choosing the share of companies that should place in INDEX FUND. This priority function selects the shares that have the highest impact on the index, and then by using heuristic algorithms, the efficient weight of these shares will be calculated. The results show that by increasing number of fund shares, the tracking error decreases. Results proved that INDEX FUND created by the GENETIC ALGORITHM in comparison with SIMULATED ANNEALING ALGORITHM had High precision and Superior performance .To create this fund, shares of companies in Tehran stock exchange will be used.

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APA: Copy

ABAASI, EBRAHIM, & AKBARI, SAMAD. (2014). TO CONSTITUTE INDEX FUND USING SIMULATED ANNEALING ALGORITHM AND GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(20), 167-180. SID. https://sid.ir/paper/197745/en

Vancouver: Copy

ABAASI EBRAHIM, AKBARI SAMAD. TO CONSTITUTE INDEX FUND USING SIMULATED ANNEALING ALGORITHM AND GENETIC ALGORITHM. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(20):167-180. Available from: https://sid.ir/paper/197745/en

IEEE: Copy

EBRAHIM ABAASI, and SAMAD AKBARI, “TO CONSTITUTE INDEX FUND USING SIMULATED ANNEALING ALGORITHM AND GENETIC ALGORITHM,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 20, pp. 167–180, 2014, [Online]. Available: https://sid.ir/paper/197745/en

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