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- Title
Portfolio optimization with tri-objective for index fund management.
- Authors
Chen, Yao-Tsung; Sheng, Yang
- Abstract
Using an index fund is a popular strategy that is designed to simulate the behavior of a market index and obtain the excess return that is more stable than other mutual funds. In setting up an index fund, investors must first choose a small number of stocks and then assign a weight to each selected stock. However, with traditional methods, investors hardly determine how well the designed index fund can mimic the market index. The main objective of this paper is to demonstrate the improvement of index fund performance by using a multi-objective optimization algorithm that can assign weights automatically.
- Subjects
INDEX mutual funds; ASSET-liability management; MUTUAL funds; ABNORMAL returns; SMALL capitalization stocks
- Publication
Algorithmic Finance, 2022, Vol 9, Issue 3/4, p121
- ISSN
2158-5571
- Publication type
Article
- DOI
10.3233/AF-200378