| 遗传算法构建我国指数基金自动生成模型的实证分析 |
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| 引用本文： | 谭治国,袁靖.遗传算法构建我国指数基金自动生成模型的实证分析[J].石家庄经济学院学报,2007,30(2):31-33,66. |
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| 作者姓名： | 谭治国 袁靖 |
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| 作者单位： | 1. 西南财经大学,四川,成都,610074
2. 西南财经大学,四川,成都,610074;山东工商学院,山东,烟台,264005 |
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| 摘 要： | 指数基金管理存在很多指数基金组合的构建方法，这些构建方法一般都包括两个独立的过程：确定投资对象的“选股”过程，和确定各投资对象权重的“资金配置”过程。提出了一种新的基于遗传算法的指数基金构建方法，该方法把“选股”过程和“资金配置”过程有机地结合在一起，做到了指数基金构建的全自动。实证结果显示，该算法构建的投资组合具有较好的投资绩效。
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| 关 键 词： | 跟踪误差 指数基金 遗传算法 信息比率 |
| 文章编号： | 1007-6875（2007）02-0031-03 |
| 修稿时间： | 2006-12-13 |
The Empirical Analysis of Automatic Index Fund Construction Model in China Based on Genetic Algorithm |
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| TAN Zhi-guo,YUAN Jing.The Empirical Analysis of Automatic Index Fund Construction Model in China Based on Genetic Algorithm[J].Journal of Shijiazhuang University of Economics,2007,30(2):31-33,66. |
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| Authors: | TAN Zhi-guo YUAN Jing |
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| Abstract: | In the field of index fund management, there are lots of models to construct portfolios, which include two separate processes, stock selection process and asset allocation process. In this paper, a new method is proposed based on Genetic Algorithm, which combines those two processes to make the index fund construction automatically. We get a conclusion that the index fund constructed by this proposed method has best performance. |
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| Keywords: | tracking error index fund genetic algorithm information ratio |
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