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摘要
This paper discusses applications of an index tracking technique to mutual fund replication problems. By using a tracking error minimization method and two rebalancing strategies, we develop a multi-period asset allocation model to track S&P 500 mutual funds dynamically. In the optimization procedure, selecting assets and distributing weights are carried out by employing a Differential Evolution method. According to experimental results, we find that the model successfully replicates the first and second moment of fund returns during out-of-sample periods by using only five assets.
- 出版日期2009
