A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

BAHROLOLOUM MOHAMMAD MAHDI; FALAH SHAMS MIRFIEYZ; BLUE GHASEM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES Year:2016 | Volume:13 | Issue:39 Page(s): 91-114

Download Full-Text

Persian Verion

View:

920

Download:

Cites:

Information Journal Paper

Title

A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION

Author(s)

BAHROLOLOUM MOHAMMAD MAHDI | FALAH SHAMS MIRFIEYZ | BLUE GHASEM | Issue Writer Certificate

Keywords

INDEX FUNDQ2

INDEX TRACKINGQ2

LINEAR PROGRAMMINGQ2

ROBUST OPTIMIZATIONQ1

Abstract

In this study, the strategy of effective asset allocation under uncertainty with the capability of risk control, transaction cost reduction and favorable return realization is investigated. In order to implement this strategy and to overcome the shortfalls of classic portfolio optimization models in dealing with uncertainty, the formation of an INDEX FUND using a robust approach and considering cardinality constraint became the agenda. Accordingly, in order to solve the INDEX TRACKING problem, a LINEAR PROGRAMMING model as minimizing the absolute deviation between the expected return of the INDEX FUND and that of the benchmark is presented. Considering the dimension of the solution space, a Meta heuristic genetic algorithm was implemented to solve the robust counterpart of the problem. The results of the analysis imply on the selection of 20 stocks as the INDEX FUND composition and indicate good performance of the INDEX TRACKING funds based on criteria such as correlation, root mean square error and the excess return using out of sample data.

Cites

No record.

References

Cite

APA: Copy

BAHROLOLOUM, MOHAMMAD MAHDI, FALAH SHAMS, MIRFIEYZ, & BLUE, GHASEM. (2016). A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION. JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES, 13(39), 91-114. SID. https://sid.ir/paper/213186/en

Vancouver: Copy

BAHROLOLOUM MOHAMMAD MAHDI, FALAH SHAMS MIRFIEYZ, BLUE GHASEM. A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION. JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES[Internet]. 2016;13(39):91-114. Available from: https://sid.ir/paper/213186/en

IEEE: Copy

MOHAMMAD MAHDI BAHROLOLOUM, MIRFIEYZ FALAH SHAMS, and GHASEM BLUE, “A ROBUST LINEAR PROGRAMMING MODEL FOR INDEX FUND CONSTRUCTION,” JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES, vol. 13, no. 39, pp. 91–114, 2016, [Online]. Available: https://sid.ir/paper/213186/en

Related Journal Papers