Affiliation:
1. Department of Computer Science and Information Engineering, National Penghu University of Science and Technology, Taiwan
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.
Subject
Computational Mathematics,Computer Science Applications,Computer Vision and Pattern Recognition,Finance
Reference17 articles.
1. Portfolio optimization and index tracking for the shipping stock and freight markets using evolutionary algorithms;Andriosopoulos,;Transportation Research Part E,2013
2. An evolutionary heuristic for the index tracking problem;Beasley,;European Journal of Operational Research,2003
3. Multi-period mean–variance portfolio selection with practical constraints using heuristic genetic algorithms;Chen,;International Journal of Computational Economics and Econometrics,2020
4. Evolutionary multi-objective portfolio optimization in practical context;Chiam,;International Journal of Automation and Computing,2008
5. Dynamic index tracking via multi-objective evolutionary algorithm;Chiam,;Applied Soft Computing,2013