Enhanced index tracking modelling in portfolio optimization

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

Enhanced index tracking is a popular form of passive fund management in stock market. It is a dual-objective optimization problem, a trade-off between maximizing the mean return and minimizing the risk. Enhanced index tracking aims to generate excess return over the return achieved by the index without purchasing all of the stocks that make up the index by establishing an optimal portfolio. The objective of this study is to determine the optimal portfolio composition and performance by using weighted model in enhanced index tracking. Weighted model focuses on the trade-off between the excess return and the risk. The results of this study show that the optimal portfolio for the weighted model is able to outperform the Malaysia market index which is Kuala Lumpur Composite Index because of higher mean return and lower risk without purchasing all the stocks in the market index.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
Pages469-472
Number of pages4
Volume1557
DOIs
Publication statusPublished - 2013
EventInternational Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013 - Kuala Lumpur
Duration: 5 Feb 20137 Feb 2013

Other

OtherInternational Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013
CityKuala Lumpur
Period5/2/137/2/13

Fingerprint

optimization
Malaysia
composite materials

Keywords

  • optimal portfolio
  • Return
  • risk
  • trade-off

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Enhanced index tracking modelling in portfolio optimization. / Lam, W. S.; Jaaman @ Sharman, Saiful Hafizah; Ismail, Hamizun.

AIP Conference Proceedings. Vol. 1557 2013. p. 469-472.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Lam, WS, Jaaman @ Sharman, SH & Ismail, H 2013, Enhanced index tracking modelling in portfolio optimization. in AIP Conference Proceedings. vol. 1557, pp. 469-472, International Conference on Mathematical Sciences and Statistics 2013, ICMSS 2013, Kuala Lumpur, 5/2/13. https://doi.org/10.1063/1.4823958
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