上证50的动态因子模型指数跟踪

Shanghai index 50’s dynamic gene mode index scout

指数跟踪要求跟踪误差中尽量减少低频单整成分,而传统指数跟踪方式并不必然达到这个要求。基于此,本文将因子模型应用于实际指数跟踪,并与传统的指数跟踪方式相比较,得出了基于动态因子模型的指数跟踪更优的结论。

The index tracking requires low frequency or interated components in tracking error. This paper appliee factor model to actual index tracking, and made the comparison between it and traditional methods, finally ,achieved a conclusion that the index tracking based on dynamic factor model is better.