Using Genetic Algorithm for Index Tracking-Evidence from Shanghai 50
This paper uses historical data of Shanghai 50 Index as sample data, replaces traditional optimization methods with genetic algorithm, uses clustering analysis method to build tracking portfolio, and compares the empirical results with those of traditional optimization methods. The empirical results...
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Format: | EJournal Article |
Published: |
Institute of Advanced Engineering and Science,
2014-03-01.
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Online Access: | Get fulltext |
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A1234.567 |
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Copy 1 | Available |