一般损失分布下多阶段指数追踪优化模型

Multi-stages Index Tracking Optimization Model under General Loss Distributions

在追踪误差风险研究的基础上,考虑实际投资环境中存在的各种约束要求,提出了一个新的指数追踪优化模型,在估计模型参数时,放松了风险资产收益率服从某些已知分布的假设,使用计量经济模型方法对风险资产收益率进行预测,并使用滤波历史模拟方法计算了追踪误差的CVaR风险.选用上证50指数及其成分股,进行了实证分析检验,由数据显示,该模型是合理的,算法是有效的.

Based on study of tracking error risk,considering different kinds of constrant conditions among the actual investment environment,a new index tracking optimization model was proposed,we estimate the model parameters and relax the assumption aboat rate of return of risk assets are subject to certain known distribution,using the method of econometric model to predict rate of return of risk assets and using filter simulation to calculate the CVAR risk of tracking error,and finally,choosing SSE 50 index and constituent stock,a empirical analysis and inspection was given.As shown by the data,the model is reasonable,the algorithm is effective.