List of Articles Tracking Portfolio

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  1 - A bi-objective portfolio rebalancing model for index traking problem under transaction costs and solving it using meta-heuristic algorithms
  Amir abass Najafi Ehsan Fazeli Sabzevar
  Continuous rebalancing and optimization of the portfolio in a way that always leads to tracking the index accurately is a complex issue. Moreover, considering the transactional costs are inevitable. This paper proposes a model for optimization of the index tracking prob More

  Continuous rebalancing and optimization of the portfolio in a way that always leads to tracking the index accurately is a complex issue. Moreover, considering the transactional costs are inevitable. This paper proposes a model for optimization of the index tracking problem and a solution based on Genetic Algorithm. The proposed model is a bi-objective model that is aimed to minimize the tracking error and transactional costs. Due to complexity of the model, the Non-dominated Sorting Genetic Algorithm and the Non-Dominated ranked Genetic Algorithm are used and evaluated to solve the model. The basic metals Index of Tehran Stock Exchange at the year of 2012 is used in this research as the desired index for tracking and rebalancing. Manuscript profile
• Open Access Article
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  2 - Proposing and solving a multi-objective index tracking portfolio model considering beta, risk and tracking error of the portfolio
  Amir Abbas Najafi Saba Khorasani
  There are two strategies in investment management; active and passive. One of the passive strategies is to construct an index tracking portfolio. In the classical models of index tracking portfolio, the goal is to minimize tracking error. However, it may cause to miss p More

  There are two strategies in investment management; active and passive. One of the passive strategies is to construct an index tracking portfolio. In the classical models of index tracking portfolio, the goal is to minimize tracking error. However, it may cause to miss portfolio’s beta and unsystematic risk. Considering BETA in  index tracking for same behavior with index and control  systematic risk which relates to index and non-systematic risk of tracking portfolio will help to minimizing total risk and to close expectation to facts .In this study we propose a multi-objective model to consider portfolio’s beta and unsystematic risk as well as tracking error and studied the simultaneous effect of effective elements (BETA and risk) on index tracking portfolio and comparing suggested function with traditional function and classic portfolio. Goal programming is applied to deal with the multi-objective model and Genetic algorithm is used to solve the model.  The proposed model is tested on real-data of Tehran Stock Exchange. The obtained results show the efficiency of the model. Manuscript profile