指数跟踪模型研究

Index Tracking Model

论述了有收益约束条件的股指债指生成综合指数的投资组合跟踪问题,给出了在最小均方误差意义下追踪组合的解,证明了最优跟踪误差是收益约束的二次函数,在均方差-均值平面上是一条抛物线。

An optimal portfolio for tracking the financial composite index of stocks and bond stocks with return constraints is constructed. The analytic formulae of tracking portfolio with minimal quadratic error are derived. It is proved that the best tracking error is a quadratic function of the return constraint, representing a parabola in the error-return plane.