%0 Journal Article
%T Research on the Cointegration Optimization Index Tracking Approach based on the Time Series of Securities Prices<br>基于证券价格时间序列的协整优化指数跟踪方法研究
%A LI Jian-fu
%A MA Yong-kai
%A <br>李俭富
%A 马永开
%J 系统工程理论与实践
%D 2006
%I 
%X By considering the constraints of no short selling and the realistic condition of the adjustment of target index,the directly tracking performance of the cointegration optimization index tracking approach based on the time series of securities prices for the targeting index is researched in this paper.Meanwhile,by introducing into the non-sampling information with simple average method,the usage of the non-sampling information in index tracking is researched too.The empirical results show that,comparing to the index tracking approach of minimizing tracking error,the cointegration optimization index tracking approach is one good approach for index tracking;furthermore,the performance of index tracking can be improved with more information.
%K cointegration
%K index tracking
%K tracking error
%K non-sampling information<br>协整
%K 指数跟踪
%K 跟踪误差
%K 非样本信息
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=43E2C79B26DD0908&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=708DD6B15D2464E8&sid=BCA2697F357F2001&eid=C5154311167311FE&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=0&reference_num=19