【摘要】 主要利用Rudolf介绍的一种线性跟踪误差———平均绝对偏差,来研究带比例交易费用的指数跟踪重平衡的时机问题.分周期性调整和非周期性调整两种情况分别对指数跟踪进行重平衡,特别是讨论了由跟踪误差阈值决定的非周期性调整问题.最后利用Dow Jones 30指数,比较了在2个月时间内周期性调整和非周期性调整两种不同调整方法的实证分析结果.更多还原

【Abstract】 The rebalance timing of index tracking with proportional transaction costs is studied.We make use of linear tracking error(MAD) first introduced by Markus Rudolf.There are two cases in the rebalancing: periodical adjustment and aperiodical adjustment.The latter case is studied.Results of numerical experiments on these two adjustment methods for the 30 indices of Dow Jones Industrial Average in two months are given.更多还原