نوع مقاله : مقاله پژوهشی
نویسندگان
کارشناسی ارشد مهندسی مالی، دانشگاه تهران، دانشکده مدیریت
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Index tracking -one of the most popular methods of passive portfolio management- tries to construct a portfolio with same return as a financial market index. This research investigates the application of a binary programming model in time series clustering for index tracking. Various similarity measurements –Pearson, Kendall, Spearman, Erdem and Dynamic Time Wrapping based distance- have been applied in this research. Out of Sample test on Market Ratio and Tracking error of portfolios based on 50 more active companies index of Tehran Stock Exchange in second, third and fourth season of 1396 and first season of 1397 shows that all portfolios successfully replicate the performance of index and the tracking error of Pearson correlation based portfolio in lower than Others. Paired comparison test on Tracking Error of portfolios shows that tracking Error of Pearson Correlation based portfolio is significantly (99% confidence level) lower than other portfolios.
کلیدواژهها [English]