Using Genetic Algorithm for Index Tracking–Evidence from Shanghai 50
Abstract
This paper uses historical data of Shanghai 50 Index as sample data, replaces traditional optimization methods with genetic algorithm, uses clustering analysis method to build tracking portfolio, and compares the empirical results with those of traditional optimization methods. The empirical results of Shanghai 50 index show that using genetic algorithm for index tracking can get better performance with lower volatility.
DOI : http://dx.doi.org/10.11591/telkomnika.v12i3.4801
Keywords
Index Tracking; Tracking Error; Genetic Algorithm; Clustering Analysis
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