| 1. Research background and purpose of dissertationIndexing investment, which refers to the replication and tracking a stock market index for the goal, is a pattern which achieves an average return of stock market through the full decentralization and passive management to the smallest of transaction costs. In essence, the indexing investment is a passive investment strategy, and corresponding to the positive investment which is through active research and analysis (including technical analysis and fundamental analysis) to achieve excess return of stock market.Along with the constant development of securities investment funds and stock market index system continuously improve, the index fund become an important investment tools. The first open index fund—Huaan SSE 180 issued in 2002 and the first ETF—SSE 50 ETF issued in 2004 successfully. After several years of development, index fund has made remarkable progress in china both in size and type. With indexing investment development, the new products are emerging to further enrich the content and depth of indexing investment, and provide investors with a variety of user-friendly options. There is an important theoretical and academic value to get an accurate understanding of the meaning of indexing investment and study its applicability in china's capital markets.The paper analyses how to build and manage an indexing investment portfolio under tracking error constraints. The basic idea is to introduce the concept of tracking error, detailed the building and management of an optimal indexing investment portfolio under tracking error constraints, including the building of an initial portfolio and the dynamic adjustment of the portfolio. Tracking error measures the investment risk of index fund, which is defined as yield difference between the index portfolio and the benchmark portfolio. To index fund, tracking error measures accuracy of an index portfolio tracking the benchmark portfolio, the larger the... |
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