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Type: Conference paper
Title: Index tracking fund enhancement using evolving multi-criteria fuzzy decision models
Author: Ghandar, A.
Michalewicz, Z.
Zurbrugg, R.
Cheong, C.
Citation: Proceedings of the 2010 IEEE Congress of Evolutionary Computation held in Barcelona Spain, 18-23 July 2010: pp.1-8
Publisher: IEEE
Publisher Place: USA
Issue Date: 2010
Series/Report no.: IEEE Congress on Evolutionary Computation
ISBN: 9781424481262
Conference Name: Congress on Evolutionary Computation (2010 : Barcelona, Spain)
Statement of
Adam Ghandar, Zbigniew Michalewicz, Ralf Zurbruegg and Chee Cheong
Abstract: An Index Tracking fund is designed to achieve similar investment performance to a market index by holding a portfolio of stocks in which each is weighted with consideration of its corresponding index weight. An ideal index tracking fund is exposed solely market risk. An enhanced index tracking fund should maintain a similar level of risk exposure through a high level of diversification (investing over a sufficiently wide base of assets) with a higher return on investment. In the approach suggested here, technical and fundamental valuation models found using an evolutionary fuzzy system provide enhancement by recommending under or over weighting some stocks in an index tracking portfolio.
Rights: ©2010 IEEE
RMID: 0020102016
DOI: 10.1109/CEC.2010.5586407
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Appears in Collections:Business School publications

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