系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2006年
11期
17~25
,共null页
协整 指数跟踪 跟踪误差 非样本信息
協整 指數跟蹤 跟蹤誤差 非樣本信息
협정 지수근종 근종오차 비양본신식
cointegration; index tracking; tracking error; non-sampling information
通过考虑不允许卖空约束和目标指数进行调整的现实情况，研究了基于证券价格时间序列的协整优化指数跟踪方法对目标指数进行直接跟踪的效果以及用简单平均法引入的非样本信息在指数跟踪中的作用．实证结果表明，相比于最小化跟踪误差优化指数跟踪方法，协整优化指数跟踪方法是一种非常好的指数跟踪方法，更多的信息可以进一步改进指数跟踪效果．
通過攷慮不允許賣空約束和目標指數進行調整的現實情況，研究瞭基于證券價格時間序列的協整優化指數跟蹤方法對目標指數進行直接跟蹤的效果以及用簡單平均法引入的非樣本信息在指數跟蹤中的作用．實證結果錶明，相比于最小化跟蹤誤差優化指數跟蹤方法，協整優化指數跟蹤方法是一種非常好的指數跟蹤方法，更多的信息可以進一步改進指數跟蹤效果．
통과고필불윤허매공약속화목표지수진행조정적현실정황，연구료기우증권개격시간서렬적협정우화지수근종방법대목표지수진행직접근종적효과이급용간단평균법인입적비양본신식재지수근종중적작용．실증결과표명，상비우최소화근종오차우화지수근종방법，협정우화지수근종방법시일충비상호적지수근종방법，경다적신식가이진일보개진지수근종효과．
By considering the constraints of no short selling and the realistic condition of the adjustment of target index, the directly tracking performance of the cointegration optimization index tracking approach based on the time series of securities prices for the targeting index is researched in this paper. Meanwhile, by introducing into the nonsampling information with simple average method, the usage of the non-sampling information in index tracking is researched too. The empirical results show that, comparing to the index tracking approach of minimizing tracking error, the cointegration optimization index tracking approach is one good approach for index tracking; furthermore, the performance of index tracking can be improved with more information.
