基于组合预测的指数跟踪方法研究
기우조합예측적지수근종방법연구
Researches on Index Tracking Approach Based on a Combined Forecasting
  • 万方数据
    湖州师范学院学报 호주사범학원학보
    JOURNAL OF HUZHOU TEACHERS COLLEGE
    2015年 4期 6-11 ,共6页

    毛茜%刘文琼

    모천%류문경

    指数跟踪%组合预测%模糊软集合 指數跟蹤%組閤預測%模糊軟集閤
    지수근종%조합예측%모호연집합
    index tracking%combination forecas%fuzzy soft sets
    借鉴组合预测的思想，将协整优化指数跟踪方法与跟踪误差最小化指数跟踪模型组合，建立基于模糊软集合的组合预测指数跟踪模型。利用上证50指数与深证100指数进行实证分析，结果显示该方法能够有效提高跟踪效果。
    차감조합예측적사상，장협정우화지수근종방법여근종오차최소화지수근종모형조합，건립기우모호연집합적조합예측지수근종모형。이용상증50지수여심증100지수진행실증분석，결과현시해방법능구유효제고근종효과。
    The paper combines two index tracking approaches,the cointegration optimization index tracking approach and the tracking error minimization index tracking approach,to build the extended in-dex tracking model.According to the empirical study based on 50 Index of Shanghai Stock Exchange and 100 Index of Shenzhen Stock Exchange,the approach in this paper can make an improvement in the per-formance of index tracking.
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