基于因子模型的指数跟踪及实证分析

运筹学学报（中英文） ›› 2012, Vol. 16 ›› Issue (1): 106-114.

基于因子模型的指数跟踪及实证分析

陈杰¹, 崔雪婷¹

1. 复旦大学管理学院, 上海, 200433

收稿日期:2011-09-23 修回日期:2012-03-15 出版日期:2012-03-15 发布日期:2012-03-15
通讯作者: 陈杰 E-mail:09210690025@fudan.edu.cn

Factor Model Based Index Tracking and Empirical Analysis

CHEN Jie¹, Cui-Xue-Ting¹

1. School of Management, Fudan University, Shanghai 200433, China

Received:2011-09-23 Revised:2012-03-15 Online:2012-03-15 Published:2012-03-15
Contact: Jie CHEN E-mail:09210690025@fudan.edu.cn

摘要/Abstract

摘要： 指数跟踪是指数基金和机构投资者广泛使用的被动投资管理策略. 通过建立股票收益的多因子模型, 提出了将组合的贝塔值控制在合适范围内, 并在期望超额收益非负的条件下, 最小化组合风险的指数跟踪模型. 同时,考虑到实际需要, 在模型中限制了组合中股票的数量和持有量.实证分析结果表明, 通过选取不同的控制参数,
该模型产生的跟踪组合既能实现较小的跟踪误差,也能实现一定的超额收益.

关键词: 金融优化, 指数跟踪, 指数基金, 多因子模型, 实证分析

Abstract: Index tracking is a popular passive investment strategy widely used by index funds and institutional investors. In this paper, we present a cardinality constrained index tracking model based on factor model. The model minimizes the variance of the portfolio with constraints on factor betas and expected excess return. Taking into account the practical investment management, we also consider restrictions on the total number of stocks selected. The result of empirical analysis suggests that, by choosing different parameters, the optimal portfolios of our model can achieve low tracking error and excess return.

Key words: financial optimization, index fund, index tracking, factor model, Empirical analysis

陈杰, 崔雪婷. 基于因子模型的指数跟踪及实证分析[J]. 运筹学学报（中英文）, 2012, 16(1): 106-114.

CHEN Jie, Cui-Xue-Ting. Factor Model Based Index Tracking and Empirical Analysis[J]. Operations Research Transactions, 2012, 16(1): 106-114.