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Xin Wu
Zhejiang University of Finance and Economics

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Using Genetic Algorithm for Index Tracking–Evidence from Shanghai 50 Jian-he Liu; Xin Wu; Qing-Song Fang
Indonesian Journal of Electrical Engineering and Computer Science Vol 12, No 3: March 2014
Publisher : Institute of Advanced Engineering and Science

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Abstract

This paper uses historical data of Shanghai 50 Index as sample data, replaces traditional optimization methods with genetic algorithm, uses clustering analysis method to build tracking portfolio, and compares the empirical results with those of traditional optimization methods. The empirical results of Shanghai 50 index show that using genetic algorithm for index tracking can get better performance with lower volatility. DOI : http://dx.doi.org/10.11591/telkomnika.v12i3.4801  
Co-Authors Jian-he Liu Qing-Song Fang