| Project/Area Number |
08630100
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Commerce
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| Research Institution | Osaka University |
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Principal Investigator |
TABATA Yoshio Osaka University, Faculty of Economics, Professor, 経済学部, 教授 (30028047)
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| Co-Investigator(Kenkyū-buntansha) |
TAKEDA Eiji Osaka University, Faculty of Economics, Professor, 経済学部, 教授 (80106624)
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| Project Period (FY) |
1996 – 1997
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| Project Status |
Completed (Fiscal Year 1997)
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| Budget Amount *help |
¥2,000,000 (Direct Cost: ¥2,000,000)
Fiscal Year 1997: ¥500,000 (Direct Cost: ¥500,000)
Fiscal Year 1996: ¥1,500,000 (Direct Cost: ¥1,500,000)
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| Keywords | Index Fund / Tracking Error / Mean Square Error / Market Portfolio / Efficient Frontier / Goal Programming / DEA / トラッキング・エラー |
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| Research Abstract |
This study is concerned with a traditional asset allocation of the Markowitz type and develops an efficient algorithm to design an index fund with given number of securities that locally minimizes the tracking error between the benchmark portfolio and the index fund. When the benchmark portfolio is on the frontier, some interesting findings on the properties of the index fund with minimizing tracking error are derived. These findings are illustrated by simple numerical examples.
Moreover, some cross-sectional relationships between the benchmark portfolio (for examples, market portfolio and Nikkei 225) and its index fund which play central roles in portfolio theory and asset allocation. Emphases are on some analytical properties of these efficient frontier portfolios on the frontier curve with the tracking error being defined as the mean square error of portfolio return. Those relations and properties are similar to the existing ones under the traditional correlation tracking error. They provide useful information for empirical studies on CAPM and index fund construction.
Many problems are left for future research. In particular, clarifying the practical implications of the tracking error and investing the relationship between various costs and the number of securities included in the index fund are important fields.
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