| 减小指数投资组合跟踪误差的研究 |
| |
| 引用本文： | 陈立新,刘建.减小指数投资组合跟踪误差的研究[J].辽宁工程技术大学学报(自然科学版),2002,21(3):383-385. |
| |
| 作者姓名： | 陈立新 刘建 |
| |
| 作者单位： | 辽宁工程技术大学,辽宁,阜新,123000 |
| |
| 摘 要： | 在有效股票市场中，投资者一般按照股票指数来构造投资组合，目的是为了获得与股票相同的业绩。但是，由于按照股票指数复制投资组合时存在佣金，市场冲击成本及持有股票保管费等成本，复制性投资组合的业绩一般要比股票指数业绩差。本文就此问题，采用三种方法，来减少投资组合跟踪误差。
|
| 关 键 词： | 投资组合跟踪误差 股票指数 复制性投资组合 |
| 文章编号： | 1008-0562(2002)03-0383-03 |
| 修稿时间： | 2002年12月10 |
Study of Index Investment Portfolio Tracing Error |
| |
| CHEN LI-xin,LIU Jian.Study of Index Investment Portfolio Tracing Error[J].Journal of Liaoning Technical University (Natural Science Edition),2002,21(3):383-385. |
| |
| Authors: | CHEN LI-xin LIU Jian |
| |
| Abstract: | In the efficient market, investors generally construct the investment portfolio according to the stock index, in order to gain the same performance as the stock index. But because there are commissions, marketimpact costs, storekeeping fees and so on when the investment portfolio is duplicated according to the stock index, the performance of the duplicated investment portfolio is generally inferior to that of the stock index. The paper adopts three methods to redace the investment portfolio tracing error. |
| |
| Keywords: | stock index duplicated investment portfolio |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
