Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model
The investors wish to achieve higher portfolio return than the benchmark index return at minimum tracking error (TE) in enhanced index tracking. This study aims to develop the optimal portfolio to track the benchmark sectorial index in Malaysia with two-stage mixed integer programming (MIP) model by...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2020
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| Online Access: | http://journalarticle.ukm.my/15091/1/jqma-16-1-paper5.pdf |
| _version_ | 1796932188444295168 |
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| author | Lam, Weng Siew Saiful Hafizah Jaaman, Lam, Weng Hoe |
| author_facet | Lam, Weng Siew Saiful Hafizah Jaaman, Lam, Weng Hoe |
| author_sort | Lam, Weng Siew |
| collection | UKM |
| description | The investors wish to achieve higher portfolio return than the benchmark index return at minimum tracking error (TE) in enhanced index tracking. This study aims to develop the optimal portfolio to track the benchmark sectorial index in Malaysia with two-stage mixed integer programming (MIP) model by minimizing the TE at the first stage followed by maximizing the portfolio mean return at the second stage. The data consists of Technology Index and the index components from Malaysia stock market. The results indicate that the two-stage MIP model gives higher mean return than the benchmark sectorial index at minimum TE. This study is significant because it helps to develop the optimal portfolio with two-stage MIP model to outperform the benchmark sectorial index without holding all index components. |
| first_indexed | 2024-03-06T04:29:09Z |
| format | Article |
| id | ukm.eprints-15091 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T04:29:09Z |
| publishDate | 2020 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-150912020-08-25T00:49:34Z http://journalarticle.ukm.my/15091/ Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model Lam, Weng Siew Saiful Hafizah Jaaman, Lam, Weng Hoe The investors wish to achieve higher portfolio return than the benchmark index return at minimum tracking error (TE) in enhanced index tracking. This study aims to develop the optimal portfolio to track the benchmark sectorial index in Malaysia with two-stage mixed integer programming (MIP) model by minimizing the TE at the first stage followed by maximizing the portfolio mean return at the second stage. The data consists of Technology Index and the index components from Malaysia stock market. The results indicate that the two-stage MIP model gives higher mean return than the benchmark sectorial index at minimum TE. This study is significant because it helps to develop the optimal portfolio with two-stage MIP model to outperform the benchmark sectorial index without holding all index components. Penerbit Universiti Kebangsaan Malaysia 2020 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/15091/1/jqma-16-1-paper5.pdf Lam, Weng Siew and Saiful Hafizah Jaaman, and Lam, Weng Hoe (2020) Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model. Journal of Quality Measurement and Analysis, 16 (1). pp. 53-59. ISSN 1823-5670 http://www.ukm.my/jqma/current.html |
| spellingShingle | Lam, Weng Siew Saiful Hafizah Jaaman, Lam, Weng Hoe Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title | Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title_full | Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title_fullStr | Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title_full_unstemmed | Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title_short | Tracking a benchmark index in portfolio optimization with two-stage mixed integer programming model |
| title_sort | tracking a benchmark index in portfolio optimization with two stage mixed integer programming model |
| url | http://journalarticle.ukm.my/15091/1/jqma-16-1-paper5.pdf |
| work_keys_str_mv | AT lamwengsiew trackingabenchmarkindexinportfoliooptimizationwithtwostagemixedintegerprogrammingmodel AT saifulhafizahjaaman trackingabenchmarkindexinportfoliooptimizationwithtwostagemixedintegerprogrammingmodel AT lamwenghoe trackingabenchmarkindexinportfoliooptimizationwithtwostagemixedintegerprogrammingmodel |