APPLICATION OF AN OPTIMIZATION MODEL FOR CONSTRUCTING AN INDEX TRACKER PORTFOLIO AND CONSIDERING THE UNCERTAINTY OF MODEL PARAMETERS BY USING OF ROBUST OPTIMIZATION APPROACH

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FALLAHPOUR SAEID; TONDNEVIS FARID

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Journal: FINANCIAL RESEARCH Year:2016 | Volume:17 | Issue:2 Page(s): 325-340

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Title

APPLICATION OF AN OPTIMIZATION MODEL FOR CONSTRUCTING AN INDEX TRACKER PORTFOLIO AND CONSIDERING THE UNCERTAINTY OF MODEL PARAMETERS BY USING OF ROBUST OPTIMIZATION APPROACH

Author(s)

FALLAHPOUR SAEID | TONDNEVIS FARID | Issue Writer Certificate

Keywords

ROBUST OPTIMIZATIONQ1

TRACKING ERRORQ1

INDEX TRACKINGQ1

INFORMATION RATIOQ1

Abstract

index tracking is the process of developing a portfolio that reproduces the performance of an index. The tracker portfolio has relatively good diversity and low turnover and low transaction costs. In this paper we applied a binary programming model for INDEX TRACKING problem. In this model the number of assets for portfolio construction is defined by portfolio manager. The ROBUST OPTIMIZATION framework is applied for considering data uncertainty of correlation coefficient. The out of sample test demonstrated that considering the data uncertainty by ROBUST OPTIMIZATION framework decrease the TRACKING ERROR and increase the INFORMATION RATIO of portfolio.

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APA: Copy

FALLAHPOUR, SAEID, & TONDNEVIS, FARID. (2016). APPLICATION OF AN OPTIMIZATION MODEL FOR CONSTRUCTING AN INDEX TRACKER PORTFOLIO AND CONSIDERING THE UNCERTAINTY OF MODEL PARAMETERS BY USING OF ROBUST OPTIMIZATION APPROACH. FINANCIAL RESEARCH, 17(2 ), 325-340. SID. https://sid.ir/paper/91168/en

Vancouver: Copy

FALLAHPOUR SAEID, TONDNEVIS FARID. APPLICATION OF AN OPTIMIZATION MODEL FOR CONSTRUCTING AN INDEX TRACKER PORTFOLIO AND CONSIDERING THE UNCERTAINTY OF MODEL PARAMETERS BY USING OF ROBUST OPTIMIZATION APPROACH. FINANCIAL RESEARCH[Internet]. 2016;17(2 ):325-340. Available from: https://sid.ir/paper/91168/en

IEEE: Copy

SAEID FALLAHPOUR, and FARID TONDNEVIS, “APPLICATION OF AN OPTIMIZATION MODEL FOR CONSTRUCTING AN INDEX TRACKER PORTFOLIO AND CONSIDERING THE UNCERTAINTY OF MODEL PARAMETERS BY USING OF ROBUST OPTIMIZATION APPROACH,” FINANCIAL RESEARCH, vol. 17, no. 2 , pp. 325–340, 2016, [Online]. Available: https://sid.ir/paper/91168/en

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