基于组合预测的指数跟踪方法研究

Researches on Index Tracking Approach Based on a Combined Forecasting

借鉴组合预测的思想,将协整优化指数跟踪方法与跟踪误差最小化指数跟踪模型组合,建立基于模糊软集合的组合预测指数跟踪模型.利用上证50指数与深证100指数进行实证分析,结果显示该方法能够有效提高跟踪效果.

The paper combines two index tracking approaches, the cointegration optimization index tracking approach and the tracking error minimization index tracking approach, to build the extended in- dex tracking model. According to the empirical study based on 50 Index of Shanghai Stock Exchange and 100 Index of Shenzhen Stock Exchange,the approach in this paper can make an improvement in the per- formance of index tracking.