A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index

Varsei, Mohsen and Shams, Naser and Fahimnia, Behnam and Yazdanpanah, Abbas (2013) A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index. Asian Academy of Management Journal (AAMJ), 18 (1). pp. 1-16. ISSN 1394-2603

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Abstract

Index tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an NP-Hard problem, and sophisticated approaches have been proposed in the literature to solve this problem. This paper presents an easyto-implement heuristic solution to this complex problem. The proposed approach was implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange Price Index. The numerical results indicate that the approach is able to identify quality solutions within reasonable model runtime.

Item Type: Article
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
Divisions: Penerbit Universiti Sains Malaysia (USM Press) > Asian Academy of Management Journal (AAM)
Depositing User: Mr Firdaus Mohamad
Date Deposited: 19 Sep 2017 01:20
Last Modified: 19 Sep 2017 01:20
URI: http://eprints.usm.my/id/eprint/36587

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