Modeling of Continuous Time Index Fund and its Statistical Test

连续时间指数基金的建模及其统计检验

• 批准号: 12630115
• 负责人: TABATA Yoshio
• 金额: $ 1.6万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2000
• 资助国家: 日本
• 起止时间: 2000 至 2001
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-12630115/
• 关键词: Tracking Error; Stochastic Equation; Financial Engineering; Risk Control; トラッキングエラー; インデックス・ファンド

This research is concerned with a continuous time financial problem to find an index fund similar to the benchmark portfolio. The problem is formulated into the optimal stochastic control problem under the mean square error tracking at the final point in time horizon. The main results obtained in this research are some extensions of the static case and described as follows:(1) If the benchmark portfolio is on the efficient frontier, then the optimal index fund is also on the efficient frontier for any point in time.(2) If the benchmark portfolio is not on the efficient frontier, then the optimal index fund is not also on the efficient frontier for any point in time.(3) The genetic algorithm is most efficient to find an optimal index fund.One of our results is published in the discussion paper and the comments and reflects from researchers have been required. The other paper is submitted to the academic journal. Moreover, all the results were reported in the workshop in the OR society of Japan and in the international conference held in Korea. In addition, two books in which include the fundamental concept of our results are published in Japan.

这项研究与连续的时间财务问题有关，以找到类似于基准投资组合的指数基金。该问题在最后一个时间点的均方误差跟踪下被提出为最佳随机控制问题。在这项研究中获得的主要结果是静态情况的一些扩展，如下所述：（1）如果基准组合在有效的边界上，那么最佳指数基金也将在任何时间点上有效的边界。（2）如果基准组合不在有效的边界上，则不得在有效的领域，那么（3）均不得均等（3）。算法最有效地找到了最佳指数基金。我们的结果之一发表在讨论文件中，需要研究人员的评论和反思。另一篇论文已提交给学术期刊。此外，所有结果均在日本或协会的研讨会以及在韩国举行的国际会议上报告。此外，两本书包括我们结果的基本概念，在日本出版。

项目成果

田畑 吉雄: "金融工学入門"エコノミックス社. 328 (2000)

田端义雄：《金融工程导论》经济出版社328（2000）。

Yoshio Tabata: "Introduction to Management Science"Makino Press. 215 (2000)

田端义夫：《管理科学概论》牧野出版社。

田畑 吉雄: "金融工学入門"エコノミックス社. 32 (2002)

田端义夫：《金融工程导论》经济出版社32（2002）。

San Han, Y.Tabata: "A Genetic Algorithm Approach for Design of Index Fund"Discustion Paper in Economics and Business.

San Han，Y.Tabata：“指数基金设计的遗传算法方法”经济与商业讨论论文。

San Han and Y. Tabata: "A Genetic Algorithm Approach for Design of Index Fund"Discussion Paper in Economics and Business. Vol.18. (2000)

San Han 和 Y. Tabata：“指数基金设计的遗传算法方法”经济与商业讨论论文。