Signal Processing and Time-frequency Analysis Application in Portfolio

Signal Processing and Time-frequency Analysis Application in Portfolio

Studies show that most actively managed mutual funds struggle to beat the market, driving an increase in the popularity of index investing. Index investing instruments, including index funds and ETFs, aim to track market performance. This study pursues both tracking error minimization and excess ret...

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Veröffentlicht in:International journal of computer and communication engineering 2012-11, Vol.1 (4), p.494-496
Hauptverfasser: Wu, Liangchuan, Tsai, I-Chan
Format: Artikel
Sprache:eng
Schlagworte:
Fuzzy
Fuzzy logic
Fuzzy set theory
Markets
Maximization
Optimization
Performance indices
Tracking errors
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Beschreibung
Zusammenfassung:Studies show that most actively managed mutual funds struggle to beat the market, driving an increase in the popularity of index investing. Index investing instruments, including index funds and ETFs, aim to track market performance. This study pursues both tracking error minimization and excess return maximization, two conflicting objectives, to construct a portfolio. The fuzzy model that track indexes is developed and discussed.
ISSN:2010-3743
2010-3743
DOI:10.7763/IJCCE.2012.V1.121