【摘要】 

Enhanced index tracking problem is the issue of selecting a tracking portfolio to outperform the benchmark return with a minimum tracking error. In this paper, we address the enhanced index tracking problem based on uncertainty theory where stock returns are treated as uncertain variables instead of random variables. First, we propose a nonlinear uncertain optimization model, i.e., uncertain mean-absolute downside deviation enhanced index tracking model. Then, we give the analytical solution of the proposed optimization model when stock returns take linear uncertainty distributions. Based on the solution, we find that tracking portfolio frontier is a continuous curve composed of at most n−1 different line segments. Furthermore, we give the condition that tracking portfolio return and risk increase with benchmark return and risk, respectively. Finally, we offer some experiments and show that our proposed model is effective in controlling the tracking error. 

【发表期刊】 Journal of Optimization Theory and Applications

【发表时间】 2022年10月

【第一作者】 杨婷婷，91视频  金融工程专业 讲师