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消极组合管理方法已由国内外众多基金的表现证明是一种有效的资产组合投资方式.指数基金作为采取消极管理策略的典型代表,其业绩超越多数采取积极管理模式的基金.指数基金管理者的主要目标是使其基金的收益尽可能接近其标的股指,如我国的沪深300,美国的标普500的收益.本文提出了一种基于启发式遗传算法的寻优方案,通过最大化效用函数来寻找一个最为经济的指数复制组合.该组合同时应该满足拥有最少的资产数量、尽可能少的权重调整次数、最小的收益波动性等限制条件以减少基金开销,并使其收益尽量接近或者超越标的指数的收益.为使该策略具有更强的实用性,文章考虑了股票具有最小交易规模、投资权重分布不平均等实际限制.实验所得策略通过构造追踪组合来匹配沪深300指数,其综合效果超过了使用二次规划、等权或者是先验经验构筑的投资组合.
Negative portfolio management has proved to be an effective portfolio investment by the performance of many domestic and foreign funds.As a typical representative of negative management strategy, index fund surpasses the majority of the active management model of the performance of the index fund managers The main goal is to make the fund’s income as close as possible to its underlying stock index, such as China’s Shanghai and Shenzhen 300, the United States, the S & P 500. In this paper, a heuristic genetic algorithm based optimization program, by maximizing the utility function To find one of the most economical portfolios of index copies that should at the same time satisfy the constraints of having the least amount of assets, minimizing the number of weight adjustments, minimizing the return volatility, etc., to reduce the fund’s overhead and bring its return as close as possible or beyond In order to make the strategy more practical, the paper considers the practical limitations of the stock, such as the minimum size of the transaction and the uneven distribution of the investment weight.Experimental results match the Shanghai and Shenzhen 300 Index by constructing the tracking combination, The effect exceeds the use of quadratic programming, the right or prior experience building cast Portfolio.