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A GA-PLS Method for the Index Tracking Problem

  • Conference paper
Advanced Research on Electronic Commerce, Web Application, and Communication (ECWAC 2011)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 143))

  • 2016 Accesses

Abstract

Index tracking is a popular problem for funds, especially for index tracker funds. In this paper, we introduced GA-PLS method to solve the index tracking problem. This method consists of genetic algorithm (GA) and partial least squares (PLS). For a portfolio constructed by specified stocks, we used PLS regression to determine their weights in this portfolio. And we used GA to determine which stocks should be chosen to optimize the tracking effect of the portfolio. Results showed that the tracking portfolio constructed by GA-PLS has good performances on both in-sample and out-of-sample data.

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Author information

Authors and Affiliations

  1. Deparment of Mathematics, Zhejiang University, Hangzhou, China, 310000

    Zhe Chen, Jiangang Shen & Shenghong Li

  2. Deparment of Economics, Zhejiang University, Hangzhou, China, 310000

    Shizhu Liu

Authors
  1. Zhe Chen
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  2. Shizhu Liu
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  3. Jiangang Shen
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  4. Shenghong Li
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Editor information

Editors and Affiliations

  1. Wuhan University of Science and Technology, Zhongnan Branch, No.18, Jiangxia Road, Wuhan, China

    Gang Shen  & Xiong Huang  & 

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© 2011 Springer-Verlag Berlin Heidelberg

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Chen, Z., Liu, S., Shen, J., Li, S. (2011). A GA-PLS Method for the Index Tracking Problem. In: Shen, G., Huang, X. (eds) Advanced Research on Electronic Commerce, Web Application, and Communication. ECWAC 2011. Communications in Computer and Information Science, vol 143. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20367-1_2

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  • DOI: https://doi.org/10.1007/978-3-642-20367-1_2

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-20366-4

  • Online ISBN: 978-3-642-20367-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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