文章基本信息

标题：An analysis of a meanvariance enhanced index tracking problem with weights constraints
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作者：Wanderlei Lima de Paulo ; Marta Ines Velazco Fontova ; Renato Canil de Souza 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2018
卷号：15
期号：4
页码：183-192
DOI：10.21511/imfi.15(4).2018.15
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：In this paper,the authors deal with a mean-variance enhanced index tracking(EIT) problem with weights constraints.Using a shrinkage approach,they show that constructing the constrained EIT portfolio is equivalent to constructing the unconstrained EIT portfolio.This equivalence allows to study the effect of weights constraints on the covariance matrix and on the EIT portfolio.In general,the effects of weights con?straints on the EIT portfolio are different from those observed in the case of global minimum variance portfolio.Finally,the authors present a numerical asset allocation example,where the S&P 500 index is used as the market index to be tracked using a portfolio composed of ten stocks,in which the constrained EIT portfolio shows a sat?isfactory performance when compared to the unconstrained case.
关键词：enhanced index tracking;weights constraints;shrinkage covariance matrix