| ชื่อเรื่อง | : | A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index |
| นักวิจัย | : | Varsei, Mohsen , Shams, Naser , Fahimnia, Behnam , Yazdanpanah, Abbas |
| คำค้น | : | HD28-70 Management. Industrial Management |
| หน่วยงาน | : | Universiti Sains Malaysia, Malaysia |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2556 |
| อ้างอิง | : | http://eprints.usm.my/36587/1/AAMJ180202.pdf , Varsei, Mohsen and Shams, Naser and Fahimnia, Behnam and Yazdanpanah, Abbas (2013) A Heuristic Approach To The Index Tracking Problem: A Case Study Of The Tehran Exchange Price Index. Asian Academy of Management Journal (AAMJ), 18 (1). pp. 1-16. ISSN 1394-2603 |
| ที่มา | : | - |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | http://web.usm.my/aamj/18012013/AAMJ180202.pdf , http://eprints.usm.my/36587/ |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | Index 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 easyto-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. |
| บรรณานุกรม | : |
Varsei, Mohsen , Shams, Naser , Fahimnia, Behnam , Yazdanpanah, Abbas . (2556). A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index.
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Varsei, Mohsen , Shams, Naser , Fahimnia, Behnam , Yazdanpanah, Abbas . 2556. "A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index".
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Varsei, Mohsen , Shams, Naser , Fahimnia, Behnam , Yazdanpanah, Abbas . "A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index."
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia, 2556. Print. Varsei, Mohsen , Shams, Naser , Fahimnia, Behnam , Yazdanpanah, Abbas . A Heuristic Approach To The Index Tracking
Problem: A Case Study Of The Tehran
Exchange Price Index. กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia; 2556.
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