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Fuzzy Index Tracking Portfolio Selection Model Based on Value-at-Risk
Company: International Journal of Research in Industrial Engineering
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: January
Resource Link: Click here to open
Pages: 41-57
Download Count: 0
View Count: 1175
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 7-19-2014
Publisher: Administrator
Summary
Index tracking is one of the most important passive strategies which describes the process of attempting to track the performance of some specified benchmark indexes. Since forecasting future returns of portfolio is uncertain, we consider these returns as fuzzy variables in this study. We also apply Value-at-Risk as the risk measure whichhas not yet been established as risk measure in index tracking portfolio selection problems. The model is tested, using Tehran Price Index (TEPIX) and computational results are presented at the end.
(volume 2, number 4)
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Author(s)
Hosseini Imeni, S.A. Sign in to follow this author
Najafi, A.A. Sign in to follow this author
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