Abstract
Index tracking, as a popular form of investment strategy, has wildly accepted by portfolio managers in industry, i.e. constructing your own portfolio to reproduce the target index. Traditionally, reproducing stock market index requires large amount of money to invest into all stocks, but this seems impossible when stock number up to thousands, one alternative way to capture the market movements is to invest in a few representative stocks that mimic the index. Portfolio managers often face a problem of figuring out the portfolio that will optimally perform this task. In this project we adopt the index tracking model from Cornuejols and Tutuncu (2007) and apply it to track the S&P100 and compare the computational results of the target index and the portfolio. Matlab and Gurobi V4.0 are used as solvers in the project.
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© 2011 Springer-Verlag Berlin Heidelberg
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Wu, D. (2011). An Index Tracking Model: One Application of Integer Programming. In: Wu, D., Zhou, Y. (eds) Modeling Risk Management for Resources and Environment in China. Computational Risk Management. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18387-4_9
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DOI: https://doi.org/10.1007/978-3-642-18387-4_9
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