A heuristic approach for index tracking problem: A case study of the Tehran exchange price index

Varsei, M; Shams, N; Fahimnia, B; Yazdanpanah, A

A heuristic approach for index tracking problem: A case study of the Tehran exchange price index

Varsei, M Shams, N Fahimnia, B Yazdanpanah, A

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Publisher:: Asian Academy of Management & Penerbit Universiti Sains Malaysia
Publication Type:: Journal Article
Citation:: Asian Academy of Management Journal, 2013, 18 (1), pp. 19 - 34
Issue Date:: 2013-01

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Field	Value	Language
dc.contributor.author	Varsei, M	en_US
dc.contributor.author	Shams, N	en_US
dc.contributor.author	Fahimnia, B	en_US
dc.contributor.author	Yazdanpanah, A	en_US
dc.date.issued	2013-01	en_US
dc.identifier.citation	Asian Academy of Management Journal, 2013, 18 (1), pp. 19 - 34	en_US
dc.identifier.issn	1394-2603	en_US
dc.identifier.uri	http://hdl.handle.net/10453/26972
dc.description.abstract	ndex tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an NP-Hard problem, and sophisticated approaches have been proposed in the literature to solve this problem. This paper presents an easy-to-implement heuristic solution to this complex problem. The proposed approach was implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange Price Index. The numerical results indicate that the approach is able to identify quality solutions within reasonable model runtime.	en_US
dc.publisher	Asian Academy of Management & Penerbit Universiti Sains Malaysia	en_US
dc.relation.ispartof	Asian Academy of Management Journal	en_US
dc.title	A heuristic approach for index tracking problem: A case study of the Tehran exchange price index	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	18	en_US
utslib.for	1503 Business and Management	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	1	en_US
pubs.volume	18	en_US

Abstract:

ndex tracking, the most popular form of passive fund management, is a portfolio selection problem in which the return of one of the stock market indexes is reproduced by creating a tracking portfolio consisting of a subset of the stocks included in the index. Index tracking has been known as an NP-Hard problem, and sophisticated approaches have been proposed in the literature to solve this problem. This paper presents an easy-to-implement heuristic solution to this complex problem. The proposed approach was implemented to develop a tracking portfolio of 438 stocks listed in the Tehran Exchange Price Index. The numerical results indicate that the approach is able to identify quality solutions within reasonable model runtime.

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http://hdl.handle.net/10453/26972