Buliding a Index Fund Decision Support System -A Combination Model of Mean-Variance and Goal Programming
碩士 === 國立臺灣大學 === 資訊管理研究所 === 87 === Mutual funds play a more important role in the coming 21 century.In the thesis, we discuss how to construct a portfolio that tracks the return of the market with a few number of stocks. We introduce a new fund constructing model, which combines Me...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
1999
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| Online Access: | http://ndltd.ncl.edu.tw/handle/28644701469541054539 |
| Summary: | 碩士 === 國立臺灣大學 === 資訊管理研究所 === 87 === Mutual funds play a more important role in the coming 21 century.In the thesis, we discuss how to construct a portfolio that tracks the return of the market with a few number of stocks.
We introduce a new fund constructing model, which combines Mean-Variance Model and goal programming algorithm. First we choose the stocks on the efficient frontier, and compute the invest proportion for each stock in the second place . We design a decision support system to help fund mangers construct their portfolio which tracks the target index well via the total market stocks.
The result shows that we can track the target index with the model we represent. The performance is better than value-based model and industrial value-based model. In addition we can tracks the target index well with only twenty stocks.
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