政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/32564
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114205/145239 (79%)
Visitors : 53008288      Online Users : 459
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32564


    Title: 調整指數基金的最小成本模型
    Minimal Cost Index Fund Rebalence Problem
    Authors: 蘇代利
    Contributors: 劉明郎
    Liu Ming-Long
    蘇代利
    Keywords: 指數基金
    混合整數線性規劃
    台灣50指數
    index fund
    mixed integer linear program
    Taiwan 50 index
    Date: 2003
    Issue Date: 2009-09-17 13:45:32 (UTC+8)
    Abstract: 通常已建立的指數基金，經過一段時間後其追蹤指數的效能已經無法滿足初期建購時的要求，此時管理者便面臨指數基金投資組合的調整問題。本論文融合建構指數基金的方法及最小化交易成本的概念，提出一個新的混合整數線性規劃模型以調整指數基金投資組合。模型亦考慮實務中交易成本、最小交易單位及批量、固定交易費用比率、以及資產總類數等限制。因此，模型包含整數變數及二元變數，求解也較為困難許多。本論文以啟發式演算法增進求解的效率，並以台灣50指數的相關資料做為實證研究的對象。
    The efficiency of index-tracking in index fund, which has been built, has usually been incapable to meet the needs after a period of time. In this moment, the managers have to face with the problems of the adjusting for index fund portfolio. In this paper, we integrate the methods of constructing index fund and the concepts of minimum transaction cost with it, and propose a new mixed integer linear program model to adjust the index fund portfolio. Moreover, the model also considers some limitations, such as the transaction costs, minimum transaction units and lots, fixed proportional transaction rates, and cardinality constraint in practical operating. For this reason, a set of integer variables and binary variables are introduced. However, they increase the computational complexity in model solution. Due to the difficulty of the MILP problem, a heuristic algorithm has been developed for the solution. The computational results are presented by applying the model to the Taiwan 50 index.
    Reference: Andrews, C., D. Ford, and K. Mallinson, The design of index funds and alternative methods of replication, The Investment Analyst 82 (October), 16-23 (1986).
    Best, M. J. and R. R. Grauer, Sensitivity analysis for mean-variance portfolio problems, Management Science 37, 980-989 (1991).
    Brooke, A., D. Kendrick, and A. Meeraus (1988), GAMS-A User’s Guide, The Scientific Press, Redwood City, CA.
    Cai, X., K. L. Teo, X. Yang and X. Y. Zhou, Portfolio optimization under a minimax rule, Management Science 46, 957-972 (2000).
    Cooper, W.W., V. Lelas, and T. Sueyoshi, Goal programming models and their duality relations for use in evaluating security portfolio and regression relations, European Journal of Operational Research 98, 431-443 (1997).
    Feinstein, C. D. and M. N. Thapa, A reformulation of a mean-absolute deviation portfolio optimization model, Management Science 39, 1552-1553 (1993).
    Konno, H. and H. Yamazaki, Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market, Management Science 37, 519-531 (1991).
    Konno, H., H. Shirakawa, and H. Yamazaki, A mean-absolute deviation-skewness portfolio optimization model, Annals of Operations Research 45, 205-220 (1993).
    Konno, H. and A. Wijayanayake, Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints, Mathematical Programming, Series B 89, 233-250 (2001).
    Konno, H. and R. Yamamoto, Minimal concave cost rebalance of a portfolio to the efficient frontier, Mathematical Programming, Series B 97, 571-585 (2003).
    Mansini, R. and M. G. Speranza, Heuristic algorithms for the portfolio selection problem with minimum transaction lots, European Journal of Operational Research 114, 219-233 (1999).
    Markowitz, H., Portfolio selection, Journal of Finance 7, 77-91 (1952).
    Meade, N. and G. R. Salkin, Index funds-construction and performance measurement, Journal of the Operational Research Society 40, 871-879 (1989).
    Rudd, A., Optimal selection of passive portfolios, Financial Management (Spring), 57-66 (1980).
    Sharpe, W. F., A linear programming approximation for the general portfolio analysis problem, Journal of Financial and Quantitative Analysis (December), 1263-1275 (1971).
    Simaan, Y., Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model, Management Science 43 (October), 1437-1446 (1997).
    Speranza, M. G., Linear programming models for portfolio optimization, Finance 14, 107-123 (1993).
    Speranza, M. G., A heuristic algorithm for a portfolio optimization model applied to the Milan stock market, Computers & Operations Research 5, 433-441 (1996).
    Tabata, Y. and E. Takeda, Bicriteria optimization problem of designing an index fund, Journal of Operational Research Society 46, 1023-1032 (1995).
    Toy, W. W. and M. A. Zurack, Tracking the Euro-Pac Index, Journal of Portfolio Management (Winter), 55-58 (1989).
    Xia, Y., B. Liu, S. Wang and K. K. Lai, A model for portfolio selection with order of expected returns, Computers & Operations Research 27, 409-422 (2000).
    Young, M. R., A minimax portfolio selection rule with linear programming solution, Management Science 44, 673-683 (1998).
    莊智祥，使用目標規劃建立指數基金，國立政治大學應用數學研究所碩士論文 （民87）。
    白惠琦，指數基金追蹤模型的最佳化，國立政治大學應用數學研究所碩士論文 （民91）。
    歐宏杰、賴朝隆、與劉宗聖，台灣50指數ETF投資實務，秀威資訊科技股份有限公司，台北(民92)。
    Description: 碩士
    國立政治大學
    應用數學研究所
    90751014
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090751014
    Data Type: thesis
    Appears in Collections:[Department of Mathematical Sciences] Theses

    Files in This Item:

    File Description SizeFormat
    75101401.pdf10KbAdobe PDF2727View/Open
    75101402.pdf14KbAdobe PDF2642View/Open
    75101403.pdf13KbAdobe PDF2796View/Open
    75101404.pdf15KbAdobe PDF21044View/Open
    75101405.pdf34KbAdobe PDF22106View/Open
    75101406.pdf54KbAdobe PDF21032View/Open
    75101407.pdf44KbAdobe PDF2879View/Open
    75101408.pdf232KbAdobe PDF2856View/Open
    75101409.pdf11KbAdobe PDF2652View/Open
    75101410.pdf17KbAdobe PDF21007View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback