Target Improvement and Empirical Research of Index Portfolio Optimization
Xiangrong Wang · Scientific Decision-Making · 2010
The construction and the optimized combination of financial products in the index of product design,the index arbitrage,and indexing investment strategy plays an important and a wide range of applications,so relevant index combinatorial optimization research has important theoretical and practical significance.In this paper the BMC model,on the basis of the improvement optimization model is reasonable,the improved model can well both excess return and tracking error of two parts,avoid the previous model considering the single tracking error,the rule beating index.