指数复制模型研究.pdfVIP

  – 300     5 10 30  EWMA  EWMA EWMA EWMA i ABSTRACT The most commonly-used index replication methods are full replication, opti- mized replication, and sampling replication.This paper is to study and conclude the pros and cons of these replication methods, with the empirical testing of the most representative index of the market - CSI 300 Index. First, this paper summarizes the prior research on index replication models and introduces several commonly-used op- timization and sampling methods. For optimization methods, this paper introduces three methods according to different optimization functions and strategies. For sam- pling methods, it introduces four methods according to different stratified sampling ideas. In the empirical testing phase, for optimized replication and sampling repli- cation, minimizing the tracking error under a quadratic programming framework is defined to be the target function and the sample is stratified by different industry sectors, with the individual stock concentration degree, rebalancing cost, and the minimum stock owned amount as the constraints of optimization. For testing the effectiveness of each index replication method, with the time series data for 5, 10, 30 business days since effective date of each regular review respectively, as well as the time series data for each period between effective dates of two consecutive regular r