Portfolio optimization with tri-objective for index fund management

Yao-Tsung Chen*, Yang Sheng

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

Using an index fund is a popular strategy that is designed to simulate the behavior of a market index and obtain the excess return that is more stable than other mutual funds. In setting up an index fund, investors must first choose a small number of stocks and then assign a weight to each selected stock. However, with traditional methods, investors hardly determine how well the designed index fund can mimic the market index. The main objective of this paper is to demonstrate the improvement of index fund performance by using a multi-objective optimization algorithm that can assign weights automatically.
Original languageAmerican English
Pages (from-to)121-127
Number of pages7
JournalAlgorithmic Finance
Volume9
Issue number3-4
DOIs
StatePublished - 3 Aug 2022
Externally publishedYes

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