Analysis and implementation of tracking efficient method to LQ45 stock index portfolio optimization

摘要: Tracking Efficient (TE) method is applied in forming portfolio that has a similarity with the market index (represented here by LQ45 Stock Index). In portfolio, TE uses historical data certain period of time. Parameter s used as stock relative measure to and it shows level return towards index. By choosing an appropriate s, will high Based on experiment results, range around 1 give higher Index Similarity than greater 1. Comparing Mean Variance (MV), can reach 99.66% while 99,14% for evaluation 21 stocks included. other hand, risk between have no significant difference. Adding some consistent but inverse value portfolio.