Optimal allocation of financial resources is a critical factor in investment decisions. A proper action in this regard requires the existence of appropriate bases and investing tools and techniques in the capital mark...Optimal allocation of financial resources is a critical factor in investment decisions. A proper action in this regard requires the existence of appropriate bases and investing tools and techniques in the capital market. One of these effective methods which is considered as the basis of new investment strategies, in addition to multiple unique features, is called index tracking. By considering the undeniable role of this approach in the future of capital markets, its investigation and implementation have been considered in this research and so the problem of optimal Tehran Exchange Dividend Price Index （TEDPIX） tracker fund selection is studied using a hybrid approach of genetic algorithm and quadratic programming. Neural network was applied to simulate unavailable data. Results illustrate the exactness and acceptable performance of the formed portfolios in several iterations such that achieving similar and even better performance compared to the index is a distinctive characteristic of the proposed algorithm.展开更多
文摘Optimal allocation of financial resources is a critical factor in investment decisions. A proper action in this regard requires the existence of appropriate bases and investing tools and techniques in the capital market. One of these effective methods which is considered as the basis of new investment strategies, in addition to multiple unique features, is called index tracking. By considering the undeniable role of this approach in the future of capital markets, its investigation and implementation have been considered in this research and so the problem of optimal Tehran Exchange Dividend Price Index （TEDPIX） tracker fund selection is studied using a hybrid approach of genetic algorithm and quadratic programming. Neural network was applied to simulate unavailable data. Results illustrate the exactness and acceptable performance of the formed portfolios in several iterations such that achieving similar and even better performance compared to the index is a distinctive characteristic of the proposed algorithm.
