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Portfolio optimization with tri-objective for index fund management

Portfolio optimization with tri-objective for index fund management Using an index fund is a popular strategy that is designed to simulate the behavior of a market index and obtain the excess return that is more stable than other mutual funds. In setting up an index fund, investors must first choose a small number of stocks and then assign a weight to each selected stock. However, with traditional methods, investors hardly determine how well the designed index fund can mimic the market index. The main objective of this paper is to demonstrate the improvement of index fund performance by using a multi-objective optimization algorithm that can assign weights automatically. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Algorithmic Finance IOS Press

Portfolio optimization with tri-objective for index fund management

Chen, Yao-Tsung; Sheng, Yang
Algorithmic Finance , Volume 9 (3-4): 7 – Aug 3, 2022
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Publisher
IOS Press
Copyright
Copyright © 2022 © 2022 – IOS Press. All rights reserved
ISSN
2158-5571
eISSN
2157-6203
DOI
10.3233/af-200378
Publisher site
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Abstract

Using an index fund is a popular strategy that is designed to simulate the behavior of a market index and obtain the excess return that is more stable than other mutual funds. In setting up an index fund, investors must first choose a small number of stocks and then assign a weight to each selected stock. However, with traditional methods, investors hardly determine how well the designed index fund can mimic the market index. The main objective of this paper is to demonstrate the improvement of index fund performance by using a multi-objective optimization algorithm that can assign weights automatically.

Journal

Algorithmic Finance – IOS Press

Published: Aug 3, 2022

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