Multi-Stages Index Tracking Optimization Model with Real-World Constraints Using PSO-DE Hybrid Algorithm

Abstract:

This paper proposes the portfolio risk of tracking error based on CVaR, and gives the multi-stages index tracking model considering some real-world constraints. We use the observed historical data and econometric methods to estimate the parameters in our model, rather than assume the returns of risk asset follow some distributions, and use filtered historical simulation method to calculate the CVaR risk of the downside tracking error. We use PSO-DE hybrid algorithm for solving our model by using Shanghai security 50 index and stocks included by the index.

• Periodical: Applied Mechanics and Materials (Volumes 380-384)
• Pages: 4786-4791
• DOI: https://doi.org/10.4028/www.scientific.net/AMM.380-384.4786
• Online since: August 2013
• Authors: Yue Lin Gao, Li Na Yan
• Keywords: ARMA-GARCH Model, Filtered Historical Simulation Method, Multi-Stages Index Tracking Problems, PSO-DE Hybrid Algorithm, Risk of Tracking Error

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