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方差过滤在再平衡指数跟踪组合中的应用

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摘要 指数跟踪要求跟踪组合与被跟踪的基准指数之间有很强的相关性。但相关性随时间而变化,交易成本的存在又使得过高频率的再平衡往往得不偿失。文章运用3种优化模型,通过实证分析,得出添加方差过滤后,跟踪组合的再平衡有较好的表现。
作者 陈柯亦
出处 《中国集体经济》 2009年第2S期91-93,共3页 China Collective Economy
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