This study proposes a portfolio optimization scheme for Enhanced index fund management. Enhanced index fund management has two basic goals in relation to passive and active management. Enhanced index fund aims to earn a higher return than the index while minimizing the risk of deviating from the index. This paper demonstrates how a genetic algorithm can be used to solve the enhanced index fund construction problem with constraints on the cardinality and with upper and lower limits on the included asset's weights. The sample period used is from May 1999 to May 2010 in the Tehran Stock Exchange (TSE). The experimental results have been compared with TEDPIX. The result of these comparisons shows that average return of enhanced index fund is statistically significant greater than return of TEDPIX.
Hejazi,R , Jafari Seresht,D and Delshadi,M . (2012). To Form Enhanced Index Fund with Genetic Algorithm. Quarterly Journal of Securities Exchange, 4(14), 135-157.
MLA
Hejazi,R , , Jafari Seresht,D , and Delshadi,M . "To Form Enhanced Index Fund with Genetic Algorithm", Quarterly Journal of Securities Exchange, 4, 14, 2012, 135-157.
HARVARD
Hejazi R, Jafari Seresht D, Delshadi M. (2012). 'To Form Enhanced Index Fund with Genetic Algorithm', Quarterly Journal of Securities Exchange, 4(14), pp. 135-157.
CHICAGO
R Hejazi, D Jafari Seresht and M Delshadi, "To Form Enhanced Index Fund with Genetic Algorithm," Quarterly Journal of Securities Exchange, 4 14 (2012): 135-157,
VANCOUVER
Hejazi R, Jafari Seresht D, Delshadi M. To Form Enhanced Index Fund with Genetic Algorithm. Quarterly Journal of Securities Exchange. 2012;4(14):135-157 (In Persian).
