Please use this identifier to cite or link to this item:
標題: Index Portfolio Construction Based on Fuzzy Goal Programming
作者: 蔡宜璋
Tsai, Yi-Jhang
關鍵字: Benchmark index;台灣五十指數;index fund;Taiwan 50 Index;tracking error;標竿指數;追蹤誤差;超額報酬;指數基金
出版社: 科技管理研究所
引用: Aouni, B., Martel, J.-M., & Hassaine, A. (2009). Fuzzy goal programming model: an overview of the current state-of-the art. Journal of Multi-Criteria Decision Analysis, 16(5-6), 149-161. doi: 10.1002/mcda.448 Beasley, J. E., Meade, N., & Chang, T. J. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148(3), 621-643. doi: 10.1016/s0377-2217(02)00425-3 Bellman, R. E., & Zadeh, L. A. (1970). Decision-Making in a Fuzzy Environment. Management Science, 17(4), B-141-164. doi: 10.1287/mnsc.17.4.B141 Black Rock, Inc. ETF Landscape Global Handbook. (2011 Q1). Retrieved from Bogle, J. C. (1998). The Implications of Style Analysis for Mutual Fund Performance Evaluation. [Article]. Journal of Portfolio Management, 24(4), 34-42. Busse, J. A. (2001). Another Look at Mutual Fund Tournaments. The Journal of Financial and Quantitative Analysis, 36(1), 53-73. Canakgoz, N. A., & Beasley, J. E. (2009). Mixed-integer programming approaches for index tracking and enhanced indexation. European Journal of Operational Research, 196(1), 384-399. doi: DOI: 10.1016/j.ejor.2008.03.015 Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82. Charnes, A. (1957). Management models and industrial applications of linear programming. Management Science, 4(1), 38. Chen, L.-H., & Tsai, F.-C. (2001). Fuzzy goal programming with different importance and priorities. European Journal of Operational Research, 133(3), 548-556. doi: 10.1016/s0377-2217(00)00201-0 Chen, L., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727. Colwell, D., El-Hassan, N., & Kang Kwon, O. (2007). Hedging diffusion processes by local risk minimization with applications to index tracking. Journal of Economic Dynamics and Control, 31(7), 2135-2151. doi: 10.1016/j.jedc.2006.06.005 Corielli, F., & Marcellino, M. (2006). Factor based index tracking. Journal of Banking & Finance, 30(8), 2215-2233. doi: 10.1016/j.jbankfin.2005.07.012 David, D. Y., Shuzhong, Z., & Xun Yu, Z. (2006). Tracking a Financial Benchmark Using a Few Assets. Operations Research, 54(2), 232. Ellis, C. D. (1975). The Loser''s Game. [Article]. Financial Analysts Journal, 31(4), 19-26. Fabozzi, F. J., Gupta, F., & Markowitz, H. M. (2002). The Legacy of Modern Portfolio Theory. The Journal of Investing, 11(3), 7-22. doi: 10.3905/joi.2002.319510 Fang, Y., & Wang, S.-Y. (2005). A Fuzzy Index Tracking Portfolio Selection Model. Lecture Notes in Computer Science, 3516, 413-434. doi: 10.1007/11428862_76 Gaivoronski, A. A., Krylov, S., & van der Wijst, N. (2005). Optimal portfolio selection and dynamic benchmark tracking. European Journal of Operational Research, 163(1), 115-131. doi: 10.1016/j.ejor.2003.12.001 Gil-Bazo, J., & Ruiz-VerdU, P. (2009). The Relation between Price and Performance in the Mutual Fund Industry. The Journal of Finance, 64(5), 2153-2183. doi: 10.1111/j.1540-6261.2009.01497.x Grinold, R. C., & Kahn, R. N. (2000). Active portfolio management: a quantitative approach for providing superior returns and controlling risk: McGraw-Hill. Gruber, M. J. (1996). Another Puzzle: The Growth in Actively Managed Mutual Funds. [Article]. Journal of Finance, 51(3), 783-810. Guu, S.-M., & Wu, Y.-K. (1999). Two-phase approach for solving the fuzzy linear programming problems. Fuzzy Sets and Systems, 107(2), 191-195. doi: 10.1016/s0165-0114(97)00304-7 Hannan, E. L. (1981). ON FUZZY GOAL PROGRAMMING*. Decision Sciences, 12(3), 522. Hsu, G. J. Y. (2003). Multi-objective Decision ((in Chinese edition) ed.). Taipei: Wu-Nan Book Inc. Israelsen, C. (2005). A refinement to the Sharpe ratio and information ratio. Journal of Asset Management, 5(6), 423. Kirkwood, C. W., & Sarin, R. K. (1980). Preference Conditions for Multiattribute Value Functions. Operations Research, 28(1), 225-232. doi: 10.1287/opre.28.1.225 Kwang-Jae, K., & Dennis, K. J. L. (1998). Dual response surface optimization: A Fuzzy modeling approach. Journal of Quality Technology, 30(1), 1. Li, Q., Sun, L., & Bao, L. (2011). Enhanced index tracking based on multi-objective immune algorithm. Expert Systems with Applications, 38(5), 6101-6106. doi: 10.1016/j.eswa.2010.11.001 M. Gilli, E. K. (2002). The threshold accepting heuristic for index tracking. in: P. Pardalos, V.K. Tsitsiringos (Eds.), Financial Engineering E-Commerce and Supply Chain Kluwer Applied Optimization Series, 70, 1-18. Maringer, D., & Oyewumi, O. (2007). Index tracking with constrained portfolios. International Journal of Intelligent Systems in Accounting, Finance & Management, 15(1-2), 57-71. doi: 10.1002/isaf.285 Meade, N., & Salkin, G. R. (1989). Index Funds—Construction and Performance Measurement. Journal of The Operational Research Society, 40(10), 871-879. doi: 10.1057/palgrave.jors.0401004 Moskowitz, H. (1993). On assessing the H value in fuzzy linear regression. Fuzzy Sets and Systems, 58(3), 303-327. doi: 10.1016/0165-0114(93)90505-c Narasimhan, R. (1980). GOAL PROGRAMMING IN A FUZZY ENVIRONMENT. Decision Sciences, 11(2), 325-336. doi: 10.1111/j.1540-5915.1980.tb01142.x Oh, K. J., Kim, T. Y., & Min, S. (2005). Using genetic algorithm to support portfolio optimization for index fund management. Expert Systems with Applications, 28(2), 371-379. doi: 10.1016/j.eswa.2004.10.014 Okay, N., & Akman, U. (2003). Index tracking with constraint aggregation. Applied Economics Letters, 10(14), 913-916. doi: 10.1080/1350485032000158636 R. Jansen, R. v. D. (2002). Optimal benchmark tracking with small portfolios. Journal of Portfolio Management, 28(2), 33-39. Thomas F. Coleman, Yuying Li, & Henniger, J. (2006). Minimizing tracking error while restricting the number of assets. The Journal of Risk, 8(4), 33. Tiwari, R. N., Dharmar, S., & Rao, J. R. (1987). Fuzzy goal programming -- An additive model. Fuzzy Sets and Systems, 24(1), 27-34. doi: 10.1016/0165-0114(87)90111-4 Ulrich Derigs, N.-H. N. (2003). Meta-heuristic based decision support for portfolio optimization with a case study on tracking error minimization in passive portfolio management. OR Spectrum, 25(3), 345-378. doi: 10.1007/s00291-003-0127-5 Vanguard 500 Index Fund Investor Shares. from Wang, J., & Hwang, W. (2007). A fuzzy set approach for R&D portfolio selection using a real options valuation model. Omega-international Journal of Management Science, 35(3), 247-257. doi: 10.1016/ Wu, L., Chou, S., Yang, C., & Ong, C. (2007). Enhanced Index Investing Based on Goal Programming. The Journal of Portfolio Management, 33(3), 49-56. Wu, L. C. (2008). Index fund construction based by fuzzy theory. working paper. Yang, T., Ignizio, J. P., & Kim, H.-J. (1991). Fuzzy programming with nonlinear membership functions: Piecewise linear approximation. Fuzzy Sets and Systems, 41(1), 39-53. doi: 10.1016/0165-0114(91)90156-k Yu, L., Zhang, S., & Zhou, X. Y. (2006). A Downside Risk Analysis based on Financial Index Tracking Models. In A. N. Shiryaev, M. R. Grossinho, P. E. Oliveira & M. L. Esquivel (Eds.), Stochastic Finance (pp. 213-236): Springer US. Zadeh, L. A. (1965). Fuzzy sets. Information and Control, 8(3), 338-353. doi: Doi: 10.1016/s0019-9958(65)90241-x Zimmermann, H. J. (1978). Fuzzy programming and linear programming with several objective functions. Fuzzy Sets and Systems, 1(1), 45-55. doi: 10.1016/0165-0114(78)90031-3 童偉恩. (2011). 台灣基金無法長期打敗大盤. 貨幣觀測與信用評等, 88, 130-144.
共同基金是投資人熱愛的商品之一,乃因對於一般投資人,藉由專業經理人可降低其風險,且省去研究選股與擇時的心力。然而研究顯示,大部分的主動式基金績效難以超越市場指標,而指數化投資受到越來越多投資人的青睞。指數化投資工具例如指數型基金及ETFs,皆以複製或貼近市場績效為目的。然而指數追蹤投資組合因受限於實務上追隨指數變動調整成分股需付出手續費的成本,另外仍需維持一定的現金部位供投資人贖回,因此將產生較大的追蹤誤差。所以除了盡可能地最小化追蹤誤差,仍須追求適度的超額報酬以達到真正的複製或貼近市場績效的目的。追求低追蹤誤差與追求超額報酬為兩相衝突的目標。目標規劃適合處理兩互相衝突目標之問題,但目標規劃的基本精神乃為預先設定明確目標,然而現實金融市場環境,決策者的期望目標往往不明確。「極小化追蹤誤差」 及 「極大化超額報酬」 此兩相衝突目標在本研究將以模糊理論中的歸屬函數表示其滿意程度,以模糊目標規劃方式建立一指數追蹤模型,標竿指數為台灣五十指數。結果顯示透過適當的歸屬函數與模型,可建構出追蹤誤差比台灣五十指數基金低但超額報酬近似的投資組合。

Mutual fund is one of favorite tools of the investors. Individual investors need no efforts on stock-picking and market-timing because the investing risk can be lowered through the professional management. But the researches indicate that most actively managed mutual fund' performance is difficult to beat the market, and index investing is more and more popular among the investors. Index investing instruments, such as index funds and ETFs, aim to track the market performance. In practical, an index tracking portfolio has to pay the transaction cost due to following the change of benchmark index and also has to remain certain cash position. This result in the higher tracking error, therefore we want to pursuit both tracking error minimization and excess return maximization to attain the real performance tracking. Both are conflicting objectives. Goal programming is suitable for handling multiple conflicting objectives, but the basic goal programming concept is first to set up the crisp goals. In the real financial environment, the desired/expected level of the decision maker is usually imprecise. Minimizing the tracking error and maximizing the excess return are both represented as “fuzzy goals” in this research. Results show that through certain membership function and tracking model, an index tracking portfolio whose tracking error is lower than 0050 index fund but excess return is similar to 0050 index fund can be constructed.
其他識別: U0005-2607201113541300
Appears in Collections:科技管理研究所

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.