基于跟踪误差的指数投资模型与业绩评价
|
摘要
大量的研究和数据显示,以选股和择时为主的积极投资策略无法取得战胜市场的业绩,而20世纪70年代开始出现并逐渐流行起来的以指数基金为代表的指数化投资策略却获得了持平甚至是超过市场平均收益水平的业绩,因此指数化投资和指数投资模型受到了理论界和投资界越来越多的重视。
指数化投资以取得市场平均收益为目标。我国经济持续稳定增长的发展势头,为指数化投资获取长期稳定收益奠定了良好的宏观经济基础,指数化投资成为更多投资者分享中国经济增长长期收益的最佳选择。对于指数化投资而言,其核心所要解决的是对指数跟踪过程中产生的跟踪误差控制问题,因此,研究基于跟踪误差的指数投资模型与业绩评价具有重要的理论意义和现实意义。
本文以指数化投资和指数跟踪技术中的核心概念——跟踪误差为主线,在全面综述国内外关于指数跟踪研究文献的基础上,对跟踪误差和跟踪误差风险进行了重点研究。进一步将跟踪误差运用到组合投资理论的均值-方差模型上,对产生的指数投资模型进行深入系统地研究和比较。最后将跟踪误差运用到我国证券市场上作为指数化投资代表的指数基金业绩评价上,建立以跟踪误差为基础的指数基金业绩评价体系,并进行了相应的实证研究,以期对我国证券市场尚处于发展中的指数基金及指数衍生产品创新提供有益的指导。
Portfolio investment is the main modern security investment strategy. Traditional investment strategy take a positive approach mainly including stock analyzing and time choosing. Lots of research and data show that the traditional positive investment strategy can not beat the market, while the indexing investment strategy, represented by index funds which began to pop up in the 1970s, have gained the same or even higher level of performance than the market average returns. Therefore indexing investment and indexing investment models received more and more attentions.
As theoretical circles and investment communities have put more attentions on indexing investment and indexing investment models, the need of professional fund managers to evaluate overall performance has been induced and the comparison between portfolio’s return and the announced benchmark’s return has to be built. Against such a backdrop, the study of tracking error, indexing investment models and performance evaluation which are the core aspects in indexing investment and management of index funds is of tremendous theoretical and practical significance.
This paper’s main line falls on tracking error which is the core concept of indexing investment and index tracking technology. On the grounds of a comprehensive literature summary in domestic and abroad researches of index tracking, this paper make a in-depth research, from the perspectives of theory and application, on tracking error and tracking error risk, indexing investment models based on tracking error, the comparisons between indexing investment models which are derived from different covariance matrix and the performance evaluation system of index fund based on the tracking error. We aim to provide useful guidance to index funds and the innovation of index derivative product which are still in the developing stage in China securities market.
The full text is divided into six chapters, the specific structure and contents are as follows:
The first chapter is the foreword. The background, research significance, content, structure and innovations of this paper have been outlined.
Chapter II provides a study review of index tracking error. This chapter describes the background and theoretical basis of index tracking error, summarizes the research of index tracking error, domestic related researches and status of index investment.
Chapter III introduces tracking error and tracking error risk. This chapter presents fundamental issues of which call for clear descriptions: the theory and definition of tracking error and tracking error risk; a focus investigation of the tracking error and tracking error risk from angels of basic concepts, measure indicators, characteristics and influencing factors; not least the introduction of tracking error risk indicator RVaR and the comparison between TEV and RVaR.
Chapter IV emphasizes on indexing investment models based on tracking error and empirical study of the models.The systematic study of the tracking error-based indexing investment models in the framework of traditional mean-variance model is conducted in this chapter. First of all, it briefly introduces the traditional mean-variance model and efficient frontier. Then it focuses on two tracking error-based indexing investment models and the empirical comparative study of the two models.
Chapter V works over comparison between indexing investment models which spring from different covariance matrix. This chapter thoroughly discusses the impact of different covariance estimation methods on indexing investment models. In the first place, this chapter put emphasis on significance of covariance matrix estimation to portfolio models and different covariance estimation methods. Then empirical study and comparative study are employed to indexing investment models within the estimated samples according to different covariance estimation methods. In the last, we perform a fitting test within fitting samples intervals.
Chapter VI sums up the tracking error-based performance evaluation of index fund. In view of the importance of tracking error in index funds and index tracking management, this chapter injects the notation of tracking error risk into performance evaluation which consists of fund performance evaluation theory, fund performance evaluation based on the tracking error, empirical evaluation based on the track error. Some meaningful conclusions have been emerged from this paper:
1. Through literature study, we comprehensively review the background and theoretical basis of the index tracking error; demonstrate the feasibility and effectiveness of indexing investment, the rationality of index tracking management, and the importance of index tracking error research; clear the main line of our research, which is also the core concept of indexing investment and index tracking management, that is, tracking error.
2. Tracking error and the tracking error risk are the basic issues that should be specific at first among the emphases in this research. This paper did an emphasis research on tracking error and tracking error risk from the aspects of basic concepts, measure index, characteristic and influencing factors. To measure the tracking error risk, a tracking error risk measure indicator RVaR is proposed, this is defined by VaR downside risk measure. The validity of this indicator for measuring tracking error risk reflected in the validity of improved information ratio for evaluating the performance of index funds. The empirical result shows that RVaR and information ratio are both efficient.
3. This paper makes a scenario that tracking error is the risk control constraint conditions of index investment model and makes a deep empirical comparison research on index investment TEV model and C-TEV model in the aspects of construction of portfolio position, portfolio performance and index tracking effect. The empirical result shows that, both of the TEV model and the C-TEV model can enhance the income of index investment combination comparing with the benchmark income. But the C-TEV model perform better in the balance of risk control and increasing income, especially when the efficiency of benchmark is comparatively low, it is reasonable to add risk control constraint conditions in the model.
4. Different covariance matrix estimation measures can affect the index tracking and tracking error evidently. This paper adopt 5 different covariance matrix estimation measures, which are sample covariance matrix V, single model matrix F, constant matrix C, scalar matrix K and two-parameter model matrix P, to research on TEV model and C-TEV model by constructing portfolio within samples and fitting test outside samples. The result which make the risk as the measure index shows that, when constructs portfolio within samples, the result from two-parameter model matrix P is close to benchmark index mostly. When fitting test outside samples, the TEV model can adopt constant matrix C to get a risk curve which is very close to the benchmark index, and adopt two-parameter model matrix P to get a same curve with the benchmark index. The empirical result from adoption of scalar matrix K underestimated the risk heavily in each model; it increased the tracking error in index investment and impacted the effect of tracking error.
5. Performance evaluation of index fund based on the tracking error serves as an applied research on tracking error which is the backbone of this paper. This paper attempts to build performance evaluation system which is composed of investment style of index funds, tracking capability of index funds, historical performance and ability of selecting stocks and occasions and conduct an empirical study of performance evaluation of index funds available in the market. The results reveal that: There exists a strong positive correlation between daily yield of index funds sample and daily yield of tracking index in the sphere of investment style. Regression model has strong capacity of interpreting fluctuations of China′s index funds. Most of the non-systemic risk of funds samples is eliminated through the investment portfolio which follows that the strategy of investment portfolio lends a hand to reducing the non-systemic risk. In the aspect of the evaluation of index fund tracking capability, index funds which fail to strictly meet the investment objectives vary in the levels of controlling tracking error. In the process of evaluating history performance of index funds, taking advantage of classical methods (Treynor’s ratio, Sharpe’s ratio, Jensen’s measure) and improved risk-adjusted methods (information ratio, improved Sharpe Ratio, improved information ratio), moment method based on investors preferences, this paper verifies that different methods have certain diversions and information ratio which is directly related to tracking error and tracking error risk, the improved information ratio and moment method based on investors preferences possess some reference value to the performance valuation of index fund. On occasion of the ability evaluation of selecting timing and stock, timing factors have more positive values than negative values with just a few to pass the significance test. Empirical results show that it boasts a weak (but not significantly) stock-selecting capacity, a weak (but not significantly) time-selecting ability.
指数化投资以取得市场平均收益为目标。我国经济持续稳定增长的发展势头,为指数化投资获取长期稳定收益奠定了良好的宏观经济基础,指数化投资成为更多投资者分享中国经济增长长期收益的最佳选择。对于指数化投资而言,其核心所要解决的是对指数跟踪过程中产生的跟踪误差控制问题,因此,研究基于跟踪误差的指数投资模型与业绩评价具有重要的理论意义和现实意义。
本文以指数化投资和指数跟踪技术中的核心概念——跟踪误差为主线,在全面综述国内外关于指数跟踪研究文献的基础上,对跟踪误差和跟踪误差风险进行了重点研究。进一步将跟踪误差运用到组合投资理论的均值-方差模型上,对产生的指数投资模型进行深入系统地研究和比较。最后将跟踪误差运用到我国证券市场上作为指数化投资代表的指数基金业绩评价上,建立以跟踪误差为基础的指数基金业绩评价体系,并进行了相应的实证研究,以期对我国证券市场尚处于发展中的指数基金及指数衍生产品创新提供有益的指导。
Portfolio investment is the main modern security investment strategy. Traditional investment strategy take a positive approach mainly including stock analyzing and time choosing. Lots of research and data show that the traditional positive investment strategy can not beat the market, while the indexing investment strategy, represented by index funds which began to pop up in the 1970s, have gained the same or even higher level of performance than the market average returns. Therefore indexing investment and indexing investment models received more and more attentions.
As theoretical circles and investment communities have put more attentions on indexing investment and indexing investment models, the need of professional fund managers to evaluate overall performance has been induced and the comparison between portfolio’s return and the announced benchmark’s return has to be built. Against such a backdrop, the study of tracking error, indexing investment models and performance evaluation which are the core aspects in indexing investment and management of index funds is of tremendous theoretical and practical significance.
This paper’s main line falls on tracking error which is the core concept of indexing investment and index tracking technology. On the grounds of a comprehensive literature summary in domestic and abroad researches of index tracking, this paper make a in-depth research, from the perspectives of theory and application, on tracking error and tracking error risk, indexing investment models based on tracking error, the comparisons between indexing investment models which are derived from different covariance matrix and the performance evaluation system of index fund based on the tracking error. We aim to provide useful guidance to index funds and the innovation of index derivative product which are still in the developing stage in China securities market.
The full text is divided into six chapters, the specific structure and contents are as follows:
The first chapter is the foreword. The background, research significance, content, structure and innovations of this paper have been outlined.
Chapter II provides a study review of index tracking error. This chapter describes the background and theoretical basis of index tracking error, summarizes the research of index tracking error, domestic related researches and status of index investment.
Chapter III introduces tracking error and tracking error risk. This chapter presents fundamental issues of which call for clear descriptions: the theory and definition of tracking error and tracking error risk; a focus investigation of the tracking error and tracking error risk from angels of basic concepts, measure indicators, characteristics and influencing factors; not least the introduction of tracking error risk indicator RVaR and the comparison between TEV and RVaR.
Chapter IV emphasizes on indexing investment models based on tracking error and empirical study of the models.The systematic study of the tracking error-based indexing investment models in the framework of traditional mean-variance model is conducted in this chapter. First of all, it briefly introduces the traditional mean-variance model and efficient frontier. Then it focuses on two tracking error-based indexing investment models and the empirical comparative study of the two models.
Chapter V works over comparison between indexing investment models which spring from different covariance matrix. This chapter thoroughly discusses the impact of different covariance estimation methods on indexing investment models. In the first place, this chapter put emphasis on significance of covariance matrix estimation to portfolio models and different covariance estimation methods. Then empirical study and comparative study are employed to indexing investment models within the estimated samples according to different covariance estimation methods. In the last, we perform a fitting test within fitting samples intervals.
Chapter VI sums up the tracking error-based performance evaluation of index fund. In view of the importance of tracking error in index funds and index tracking management, this chapter injects the notation of tracking error risk into performance evaluation which consists of fund performance evaluation theory, fund performance evaluation based on the tracking error, empirical evaluation based on the track error. Some meaningful conclusions have been emerged from this paper:
1. Through literature study, we comprehensively review the background and theoretical basis of the index tracking error; demonstrate the feasibility and effectiveness of indexing investment, the rationality of index tracking management, and the importance of index tracking error research; clear the main line of our research, which is also the core concept of indexing investment and index tracking management, that is, tracking error.
2. Tracking error and the tracking error risk are the basic issues that should be specific at first among the emphases in this research. This paper did an emphasis research on tracking error and tracking error risk from the aspects of basic concepts, measure index, characteristic and influencing factors. To measure the tracking error risk, a tracking error risk measure indicator RVaR is proposed, this is defined by VaR downside risk measure. The validity of this indicator for measuring tracking error risk reflected in the validity of improved information ratio for evaluating the performance of index funds. The empirical result shows that RVaR and information ratio are both efficient.
3. This paper makes a scenario that tracking error is the risk control constraint conditions of index investment model and makes a deep empirical comparison research on index investment TEV model and C-TEV model in the aspects of construction of portfolio position, portfolio performance and index tracking effect. The empirical result shows that, both of the TEV model and the C-TEV model can enhance the income of index investment combination comparing with the benchmark income. But the C-TEV model perform better in the balance of risk control and increasing income, especially when the efficiency of benchmark is comparatively low, it is reasonable to add risk control constraint conditions in the model.
4. Different covariance matrix estimation measures can affect the index tracking and tracking error evidently. This paper adopt 5 different covariance matrix estimation measures, which are sample covariance matrix V, single model matrix F, constant matrix C, scalar matrix K and two-parameter model matrix P, to research on TEV model and C-TEV model by constructing portfolio within samples and fitting test outside samples. The result which make the risk as the measure index shows that, when constructs portfolio within samples, the result from two-parameter model matrix P is close to benchmark index mostly. When fitting test outside samples, the TEV model can adopt constant matrix C to get a risk curve which is very close to the benchmark index, and adopt two-parameter model matrix P to get a same curve with the benchmark index. The empirical result from adoption of scalar matrix K underestimated the risk heavily in each model; it increased the tracking error in index investment and impacted the effect of tracking error.
5. Performance evaluation of index fund based on the tracking error serves as an applied research on tracking error which is the backbone of this paper. This paper attempts to build performance evaluation system which is composed of investment style of index funds, tracking capability of index funds, historical performance and ability of selecting stocks and occasions and conduct an empirical study of performance evaluation of index funds available in the market. The results reveal that: There exists a strong positive correlation between daily yield of index funds sample and daily yield of tracking index in the sphere of investment style. Regression model has strong capacity of interpreting fluctuations of China′s index funds. Most of the non-systemic risk of funds samples is eliminated through the investment portfolio which follows that the strategy of investment portfolio lends a hand to reducing the non-systemic risk. In the aspect of the evaluation of index fund tracking capability, index funds which fail to strictly meet the investment objectives vary in the levels of controlling tracking error. In the process of evaluating history performance of index funds, taking advantage of classical methods (Treynor’s ratio, Sharpe’s ratio, Jensen’s measure) and improved risk-adjusted methods (information ratio, improved Sharpe Ratio, improved information ratio), moment method based on investors preferences, this paper verifies that different methods have certain diversions and information ratio which is directly related to tracking error and tracking error risk, the improved information ratio and moment method based on investors preferences possess some reference value to the performance valuation of index fund. On occasion of the ability evaluation of selecting timing and stock, timing factors have more positive values than negative values with just a few to pass the significance test. Empirical results show that it boasts a weak (but not significantly) stock-selecting capacity, a weak (but not significantly) time-selecting ability.
引文
①《巴菲特投资语录全集》,人民邮电出版社出版,2008。
① 数据来源:摩根士丹利(Morgan Stanley Investment Strategies),彭博社(Bloomberg),资料日期:截止至 2006/11/31
① 参见李俭富,马永开,曾勇. 指数跟踪研究评述. 当代经济管理,2005,12:19-24.
① 数据来源:《中国证券期货统计年鉴》(1995～2007)
② 数据来源:《中国证券报》(2007 年 5 月 15 日)
① VaR summarizes the worst loss over a target horizon with a given level of confidence.
① 见Rubinstein M. Markowitz’s “Portfolio Selection”: A fifty year retrospective[J]. Journal of Finance, 2002, 57: 1041-1045.
① 详细证明过程见:赖民,赵世舜,宋立新. 关于投资收益-风险模型等价性的证明. 吉林大学学报[理学版], 2003, 41(4):454-457.
① 详见Roll R. A mean-variance analysis of tracking error. Journal of Portfolio Management, 1992, 18(4): 13-22.
① 详见Jorion P. Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 2003(4): 70-82.
② 该协会以发起注册金融分析师(Chartered Financial Analyst,CFA)计划而全球闻名
① 沪深 300 指数成份股名单详见中证指数有限公司网站:http:// www.csindex.com.cn/ sseportal/ csiportal/xzzx/file/Csi300Cons.xls
①数据来源:J. P. Morgan. RiskMetrics TM-Technical Document. Fourth edition. 1996, New-York, http://www.riskmetrics.com,
①参见蒋瑛琨.中国证券投资基金业绩评价研究[博士论文]. 2005.
① 参见刘艳武,蒋瑛琨.Sharpe指数评价中国证券市场基金业绩的适用性.金融研究,2004(10)
19博时裕富基金的跟踪标的指数自 2008 年 1 月 1 日后变更为沪深 300 指数
[1] Adcock, C. J., and Meade, N. A simple algorithm to incorportate transaction costs in quadratic optimization. European Journal of Operational Research, 1994, 79(1): 85-94.
[2] Aharony, J., and Swary, I. Quarterly dividend and earnings announcements and stock holders returns: an empirical analysis. The Journal of Finance, 1980, 35(1): 1-12.
[3] Alexander, C. Optimal hedging using cointegration. Philosophical Transactions of Royal Society of London Series A-Mathematical Physical and Engineering Sciences, 1999, 357: 2039-2058.
[4] Ammann, M., and Zimmermann, H. Tracking error and tactical asset allocation. Financial Analysts Journal, 2001, 57(2): 32-43.
[5] Bachelier, L. Theorie de la speculation ananales de I. Ecole normale Superieure, 3rd series, 1900, 17: 21-86.
[6] Banz, R. The relationship between return and market value of common stock. Journal of Financial Economics, 1981, 9(1): 3-18.
[7] Ball, R. Anonalies in relationships between securities' yields and yield-surrogates. Journal of Financial Economics, 1978, 6(2, 3): 103-126.
[8] Bamberg, Q., and Wagner, N. Equity index replication with standard and robust regression estimators. Operation Research Spektrum, 2000, 22(4): 525-543.
[9] Barber, B. M., and Odean, T. Too many cooks spoil the profits: investment club performance. Financial Analysts Journal, 2000, 56(1): 17-25.
[10] Barber, B. M., and Odean, T. Trading is hazardous to your wealth: the common stock investment performance of individual investors. The Journal of Finance, 2000, 55(2), 773-806.
[11] Basu, S. Investment performance of common stocks in relations to their price earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 1977, 32(3): 663-682.
[12] Basu, S. The relationship between earnings' yield, market value and the returnof NYSE common stocks: further evidence. Journal of Financial economics, 1983, 12(1): 129-156.
[13] Beasley, J. E., Meade, N., and Chang, T. J. An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 2003, 148(3): 621-643.
[14] Bird, R., and Gallagher, D. R. The evaluation of active manager returns in a non-symmetrical environment. Journal of Asset Management, 2002, 2: 303-324.
[15] Black, F. Capital market equilibrium with restricted borrowing. Journal of Business, 1972, 45(3): 444-455.
[16] Blitz, David. C., and Hottinga, J.Tracking Error Alloction. The Journal of Portfolio Management, 2001, Summer:19-25.
[17] Blume, E., and Friend, I. Risk investment strategies and long-run rates of return. The Review of Economics and Statistics, 1974, 12(3): 387-404.
[18] Bogle, J. C. Selecting equity mutual funds. Journal of Portfolio Management, 1992, 18:94-100.
[19] Bogle, J. C. The Implications of style analysis for mutual fund performance evaluation. The Journal of Portfolio Management, 1998, 24(4): 34-42.
[20] Bollerslev, T. Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 1986, 31(3): 307-327.
[21] Brown, S. J., and Goetzmann, W. N. Performance persistence. Journal of Finance, 1995, 50(2): 679-698.
[22] Browne, S. Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark. Finance and Stochastics, 1999, 3(3): 275-294.
[23] Cai, J., Chan, K. C., and Yamada T. The performance of Japanese mutual funds. The Review of Financial Studies, 1997, Summer.
[24] Carcia, C. B., and Gould, F. J. Survivorship bias and mutual fund performance. Journal of Portfolio Management, 1996, 19(3): 52-56.
[25] Carhart, M. On persistence in mutual fund performance. Journal of Finance, 1997, 50:57-82.
[26] Clarke, R. G., Krase, S., and Statman, M. Tracking errors, regret, and tactical asset allocation. Journal of Portfolio Management, 1994, Spring 20(3); 16-24.
[27] Connor, C., and Leland, H. Cash management for index tracking. Financial Analysts Journal, 1995, 51(6): 75-80.
[28] Consiglio, A., and Zenios, S A. Integrated simulation and optimization models for tracking international fixed income indices. Mathematical Programming, 2001, 89(2): 311-339.
[29] Davies, P. L., and Canes, M. Stock prices and the publication of second-hand information. The Journal of Business, 1978, 51(1): 43-56.
[30] Dorfleitner, G. A note on the exact replication of a stock index with a multiplier rounding method. Operational Research Spektrum, 1999, 21(4): 493-502.
[31] Elton, E. J., and Gruber, M. J. Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection. Journal of Finance, 1973, XXVII(5): 1203-1233.
[32] Elton, E. J., Gruber, M. J., and Padberg, M. W. Simple Criteria for Optimal Portfolio Selection. The Journal of Finance, 1976, 31(5): 1341-1357.
[33] Elton, E. J., and Gruber, M. J. Modern Portfolio Theory, 1950 to Date. Journal of Banking&Finance, 1997, 21(11): 1743-1759.
[34] Fama, E. F. The behavior of stock market prices. Journal of Business, 1965, 38(1): 34-106.
[35] Fama, E. F., Fisher, L., Jesen, M., and Roll, R. The adjustment of stock prices to new information. International Economic Review, 1969, 10(1): 1-21.
[36] Fama, E. F. Efficient capital markets: A review of theory and empicial work. Journal of Finance, 1970, 25(5): 383-417.
[37] Fama, E. F. Components of investment performance. Journal of Finance, 1972, 7: 551-567.
[38] Fama, E. F., and MacBeth, J. D. Risk, Return, and Equilibrium: Empirical Tests. The Journal of Political Economy, 1973, 81(3): 607-636.
[39] Fama, E. F. Efficient Capital Markets. Journal of Finance, 1991, 46(5): 1575-1617.
[40] Fama, E. F., and French, K. R. The cross-section of expected stock returns. Journal of Finance, 1992, 47(2): 427-465.
[41] Firth, M. Corportate takeovers, stockholder returns and executive rewards. Managerial and Decision Economics, 1991, 12(6):421-429.
[42] Fox, S. M. Simulating skilled active management. Journal of AssetManagement, 2002, 3(1): 73-89.
[43] Franks, E. C. Targeting excess-of-benchmark return. Journal of Portfolio Management, 1992, 18(4): 6-12.
[44] French, K. Stock returns and weekend effect. Journal of Financial Economics, 1980, 8(1): 55-69.
[45] Frino, A., and Gallagher, D. R. Is index performance achievable? An analysis of Australian equity index funds. ABACUS, 2002, 38(2): 200-214.
[46] Frino, A., Gallagher, D. R., Neubert, A., and Oetomo, T. N. Index design and implications for index tracking. The Journal of Portfolio Mangement, 2004, 30(2): 89-95.
[47] Froot, K. A., and Dabora, E. M. How are stock prices affected by the location of trade? Fournal of Financial Economics, 1999, 53(2): 189-216.
[48] Frost, P. A., and Savarino, J. E. An Empirical Bayes Approach to Efficient Portfolio Selection. The Journal of Financial and Quantitative Analysis, 1986, 21(3): 293-305.
[49] Goetzmann, W. N., Ingersoll, J., and Ivkovic, Z. Monthly measurement of daily timers. Journal of Financial and Quantitative Analysis, 2000, 35(3): 257-290.
[50] Grossman, S., and Stiglitz, J. The impossiblility of informationally efficient markets. American Economic Review, 1990, 70(1): 393-408.
[51] Gruber, M. Another puzzle: the growth in actively managed mutual funds. Journal of Finance, 1996, 51: 783-810.
[52] Gultekins, M., and Gultekin, N. Stock market seasonality, international evidence. Journal of Financial Economics, 1983, 12(4): 469-481.
[53] Haugen, R. A., and Baker, N. L. Dedicated stock portfolios. Journal of Portfolio Management, 1990, 16(4): 17-22.
[54] Henriksson, R. D., and Merton, R. C. On market timing and investment performance. II.Statistical procedures for evaluating forecasting skills. Journal of Business, 1981, 54(4): 513-533.
[55] Hodges, S. D. Problems in the application of portfolio selection models. Omega, 1976, 4(6): 699-709.
[56] Ippolito, R. A. Efficiency with costly information: A study of mutual funds. The Quarterly Journal of Economics, 1989, 104(1): 1-23.
[57] Jaffe, J. The effect of regulation changes in insider trading. Bell Journal ofEconomics and Management Science, 1974, 5(1): 93-121.
[58] Jansen, R., and Dijk, D. V. Optimal benchmark tracking with small portfolios. Journal of Portfolio Management, 2002, 28(2): 33-39.
[59] Jeffrey, R. H., and Arnott, R. D. Is your alpha big enough to cover it's taxes? Journal of Portfolio Management, 1994, 19(3): 15-26.
[60] Jensen, M. The performance of mutual funds in the period 1945-1964. Journal of Finance, 1968, 23(2): 389-416.
[61] Jensen, M. Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 1978, 6(2): 95-101.
[62] Jobson, J. D., and Korkie, B. Estimation for Markowitz Efficient Portfolios. Journal of the American Statistical Association, 1980, 75(371): 544-554.
[63] Johansen, S., and Juselius, K. Maximum Likelihood Estimation and Inferences on Cointegration-with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 1990, 52: 169-210.
[64] Jorion, P. Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 2003(4): 70-82.
[65] Kahn, R. N., and Rudd, A. Does historical performance predict future performance? Financial Analysists Journal. 1995, 51(4): 43-52.
[66] Kane, A., Lee, Y. K., and Marcus, A. J. Earnings and dividend announcements: is there a corroboration effect? Journal of Finance, 1984, 34(4): 1091-1099.
[67] Keim, D. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Enanceial Economics, 1983, 12(1): 13-32.
[68] Keim, D. B. An analysis of mutual fund design: The case of investing in small-cap stocks. Journal of Financial Economics, 1999, 51(2): 173-194.
[69] Kendall, M. J. The analysis of economic time series, Part I: Prices. Joumal of the Royal Statistical Soeiet, Series A. 1953, 96: 11-25.
[70] Keown, A. J., and Pinkerton, J. M. Merger Announcements and insider trading activity: An empirical investigation. The Journal of Finance, 1981, 36(4): 855-869.
[71] Konno, H., and Wigayanayake, A. Minimal cost index tracking under nonlinear transaction costs and minimal transaction umit constraints. International Journal of Theoretical and Applied Fiance, 2001, 4(6): 939-957.
[72] Larsen, J. G. A., and Resnick, B. G. Empirical insights on indexing. Journal ofPortfolio Management, 1998, 25(1): 51-60.
[73] Latham, M. Informational efficiency and information subsets. The Journal of Finance, 1986, 41(1): 39-52.
[74] Lawton-Browne, C. An alternative calculation of tracking error. Journal of Asset Management, 2001, 2(3): 223–234.
[75] Ledoit, O., and Wolf, M. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 2003, 10(5): 603-621.
[76] Ledoit, O., and Wolf, M. A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 2004, 88(2): 365-411.
[77] Lee, C., and Rahman, S. Market timing, selectivity, and mutual fund performance: An empirical investigation. Journal of Business, 1997, 63(2): 261-278.
[78] Lintner, J. The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 1965, 47(1): 13-37.
[79] Liu, P., Smith, S. D., and Syed, A. A. Stock price reactions to the Wall Street Journal's securities recommendations. Journal of Financial and Quantitative Analysis, 1990, 25 (3): 399-410.
[80] Lo, A. W., and Mackinalay, A. C. Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies, 1988, 1(1): 41-66.
[81] Malkiel, B. G. Returns from investing in equity mutual funds 1971 to 1991. Journal of Finance, 1995, 50(2): 549-572.
[82] Mandelbrot, B. Forecasts of future prices unbiased markets and martingale models, securities prices: a supplement. Journal of Business, 1966, 39(1): 242-255.
[83] Mansini, R., Ogryczak, W., and Speranza, M. G. LP Solvable Models for Portfolio Optimization: A Classification and Computational Comparison. IMA Journal of Management Mathematics, 2003, 14(3): 187-220.
[84] Markowitz, H. Portfolio selection. Journal of Finance, 1952, 7(1): 77-91.
[85] Meade, N., and Salkin, G. R. Index funds-construction and performance measurement. Journal of Operational Research Society, 1989, 40(10): 871-879.
[86] Mehra, R., and Prescott, E. C. The equity premium: a puzzle. Journal of Monetary Economics, 1985, 15(2): 145-161.
[87] Meade, N., and Salkin G. R. Developing and maintaining an equity index fund. Journal of the Operational Research Society, 1990, 41(7): 599-607.
[88] Merton, R. C. Life time portfolio selection under uncertainty: the continuous case. Review of Economics and Statistics, 1969, 51(3): 247-257.
[89] Merton, R. C. An analytic derivation of the efficient portfolio frontier. Journal of Financial and Quantitative Analysis, 1972, 7(4 September):1851–1872.
[90] Merton, R. C. On estimating the expected return of the market. Journal of Financial Economics, 1980, 8(4): 323-361.
[91] Michaud, M. O. The Markowitz Optimization Enigma: Is 'Optimized' Optimal? Financial Analysts Journal, 1989, 45(1): 31-42.
[92] Mikkelson, W. H., and Partch, M. M. Stock price effects and costs of secondary distributions. Journal of Financial Economics, 1985, 14(2):165-194.
[93] Mills, T. C., and Coutts, J. A. Anomalies and calendar affects in the new FT-SE Indices. European Journal of Finance, 1995, 1: 79-93.
[94] Mossin, J. Equilibrium in a capital asset market. Econometrica, 1966, 34(4): 768-783.
[95] Osbonre, M. M. Brownian motion in the stock market. Operations Researeh, 1959, 7(2): 145-173.
[96] Peters, E. E. Fractal structure in the capital markets. Financial Analysts Journal, 1989, 45(4): 32-37.
[97] Perold, A. R. Large scale portfolio optimization. Journal of Management Science, 1984, 30(10): 1143-1160.
[98] Pettit, R. R. Commission rates structures-their impact on research, information and market efficiency. Journal of Contemporary Business, 1976, 5(3): 29-42.
[99] Pope, P. F., and Yadav, P. K. Discovering errors in tracking error. Journal of Portfolio Management, 1994, 20(2): 27-32.
[100] Rendleman, R. J., Jones, C. P., and Latane, H. A. Empirical anomalies based on unexpected earnings and the importance of risk adjustments. Journal of Financial Economics, 1982, 10(3): 269-287.
[101] Rohweder, H. C. Implementing stock selection ideas: Does tracking error optimization do any good? Journal of Portfolio Management, 1998, 24(3):49-59.
[102] Roll, R. A mean-variance analysis of tracking error. Journal of Portfolio Management, 1992, 18(4): 13-22.
[103] Ross, S. A. Arbitrage theory of capital pricing. Journal of Economic Theory, 1976, 13(3): 341-360.
[104] Rozeff, M. S., and Kinney, W. R. Capital market seasonality: the case of stock returns. Journal of Financial Economics, 1976, 3(4): 379-402.
[105] Rubinstein, M. Securities market efficiency in an arrow-debreu economy. The American Economic Review, 1975, 65(5): 812-824.
[106] Rubinstein, M. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science, 1976, 7(2): 407-425.
[107] Rubinstein, M. Markowitz’s “Portfolio Selection”: A fifty year retrospective. Journal of Finance, 2002, 57(3): 1041-1045.
[108] Rudd, A. Optimal selection of passive portfolios. Financial Management, 1980, 9(1):57-66.
[109] Rudolf, M., Wolter, H. J., and Zimmernann, H. A linear model for tracking error minimization. Journal of Banking & Finance, 1999, 23(1): 85-103.
[110] Quigley, Q., and Sinquefield, R. A. Performance of UK equity unit trusts. Journal of Asset Management, 2000, 1(1): 72-92.
[111] Samuelson, P. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 1965, 6(2): 41-49.
[112] Scholes, M. S. The Market for Securities: Substitution versus price pressure and the effects of information on share prices. The Journal of Business, 1972, 45(2): 179-211.
[113] Seyhun, H. N. Insiders' profits, costs of rrading, and market efficiency. Journal of Financial Economics, 1986, 16(2): 189-232.
[114] Sharpe, W. F. A Simplified Model for Portfolio Analysis. Management Science, 1963, 9(2): 277-293.
[115] Sharpe, W. F. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 1964, 19(3): 425-442.
[116] Sharpe, W, F. Mutual fund performance. Journal of Business, 1966, 39(1): 119-138.
[117] Sharpe, W. F. Decentralized investment management. Journal of Finance, 1981, 36(2): 217-234.
[118] Sharpe, W. F. Asset allocation: Management style and performance measurement. Journal of Portfolio Management, 1992, 18(2): 7-19.
[119] Sorensen, E. H., Miller, K. L., and Samak, V. Allocating between active and passive management. Financial Analysts Journal, 1998, 54(5): 18-31.
[120] Steinbatch, M. C. Markowitz Revisited Mean-Variance Models in Financial Portfolio Analysis. Society for Industrial and Applied Mathematics, 2002, 73(1): 31-85.
[121] Surz, R. J., Stevens, D., and Wimmer, M. Investment policy explains all. Financial Analysists Journal, 2000, 56(1): 43-47.
[122] Tabata, Y., and Takeda, E. Bicriteria optimization problem of designing and index fund. Journal of the Operational Research Society, 1995, 46(8): 1023-1032.
[123] Taylor, S. J. The measure theory of random fractals. Mathematical proceedings of the Cambridge Philosophical Society, 1986, 100(3): 383-406.
[124] Taylor, S. J. Modelling stochastic bolatility: a review and comparative study. Mathematical finance, 1994, 4(2): 183-204.
[125] Toy, W. M., and Zurack, M. A. Tracking the Euro-Pac index. Journal of Portfolio Management, 1989, 15(2): 55-58.
[126] Treynor, J. How to rate management of investment funds. Harvard Business Review, 1965(1): 63-75.
[127] Treynor, J., and Mazuy, K. Can mutual funds outguess the market? Harvard Business Review, 1966(44): 131-136.
[128] Treynor, J., and Black, F. How to use security analysis to improve selection. Journal of Business, 1973(46): 66-86.
[129] Treynor, J. L., and Black, F. How to use security analysis to improve portfolio selection. Journal of Business, 1974, 41(1): 48-60.
[130] Vardharaj, R., Fabozzi, F. J., and Jones, F. J. Determinants of Tracking Error for Equity Portfolios. The Journal of Investing, 2004, Summer: 37-47.
[131] Walsh, D. M., Walsh, K. D., and Evans, J. P. Assessing Estimation Error in A Tracking Error Variance Minimisation Framework. Pacific-Basin Finance Journal, 1998, 6(1-2): 175-192.
[132] Wang, M. Y. Multiple-benchmark and multiple-portfolio optimization. Financial Analysts Journal, 1999, 51(l): 63-72.
[133] Watts, R. L. Systematic "abnormal" returns after quarterly earnings announcements. Journal of Financial Economics, 1978, 6(2, 3): 127-130.
[134] Wermers, R. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs and expenses. Journal of Finance, 2000, 55(4): 1655-1703.
[135] Worzel, K. J., Zeniou, C. M., and Zenions, S. A. Integrated simulation and optimization models for tracking indices of fixed-income securities. Operations Research, 1994, 42(2): 223-233.
[136] Zenions, S. A., Holmer, M. R., McKendall, R., and Zeniou, C. V. Dynamic models for fixed-income Portfolio management under uncertainty. Journal of Economic Dynamics and Control, 1998, 22(10): 1517-1541.
[137] Zeniou, C. V., and Zenions, S. A. Robust optimization models for managing callable bond portfolios. European Journal of Operational Research, 1996, 91(2): 264-273.
[138] Zorin, A., and Borisov, A. Traditional and index tracking methods for portfolio construction by means of neural networks. Information Technology and Management Science, 2002, 1-9.
[139] Baestaens, D. E., and Bergh, V. D. Tracking the Amsterdam stock index using neural networks [M]. Neural Networks in Capital Markets, edited. Refenes AP John Wiley&sons, 1995, 149-161.
[140] Bogle, J. C. An index fundamentalist goes back to the drawing board [M]. Bogle Financial Markets Research Center, 2002.
[141] Brock, W. A., Hsieh, D., and LeBaron, B. A test for nonlinear dynamics chaos ans instability [M]. Cambridge, Mass. MIT Press, 1991.
[142] Chiang, W. Optimizing Performance [M]. Indexing for Maximum Investment Results, GPCo Publishers, 1998.
[143] Friedman, M. The case for flexible exchange rates [M]. Eassaye in Posipive Economics, Chicago: University of Chicago Press, 1995.
[144] Grinold, R. C., and Kahn, R. N. Active portfolio management [M]. Chicago: Irwin, 1995.
[145] Jorion, P. Value at Risk: The new benchmark for managing financial risk [M]. New York: McGraw-Hill, 2000.
[146] Malkiel, B. Efficient Market Hypothesis. in Newman P., Milgate M., Eatwell J. (ed.) New Palgrave Dictionary of Money and Finance, London: Macmillan, 1992.
[147] Markowitz, H. Portfolio Selection: Efficient Diversification of Investments [M]. New York: John Wiley & Sons, 1959.
[148] Olama, A. Implementing equity index portfolios [M]. Indexing for Maximum Investment Results, GPCo Publishers, 1998.
[149] Roberts, H. Stateistical versus clinical prediction of the stock market. Unpubilshed Manuscript [M]. CRSP Chicago: University of Chicago, 1967.
[150] Taylor, S. J. Modelling financial time series [M]. New York: Wiley, 1994.
[151] Alexander, C., and Dimitriu, A. Equity indexing cointegration and stock price dispersion a regime switching approach to market efficiency [R]. ISMA Centre Discussion Paper in finance, 2003, Working Paper.
[152] Ammann, M., and Tobleer, Q. Measurement and Decomposition of Tracking Error Variance [R]. http://www. fmpm.ch /files/4th/ammanntobler.pdf 2000, Working Paper.
[153] Corielli, F., and Marcellino, M. Factor based index tracking [R]. http:// www. cepr. org/pubs/dps/DP3265.asp, 2002, Working Paper.
[154] Eddelbuttel, D., and Marseilles. A hybrid genetic algorithm for passive management [R]. Second Conference Computing in Economics and finance, Society of computational Economics, Geneva, Switzerland, 1996, Working Paper.
[155] Focardi, S.M. Clustering economic and financial time series: exploring the existence of stable correlation conditions. Technical Report 2001-04, The Intertek Group, 2001.
[156] Gilli, M., and Kellezi, E. Threshold accepting for index tracking [R]. http://www. unige.ch/ses/metri/gilli/portfolio/Yale-2001-IT.pdf, 2001, Working Paper.
[157] Hwang, S., and Satchell, S. E. Tracking error: ex-ante versus ex-post measures [R]. 2001, Working Paper.
[158] J. P. Morgan. RiskMetricsTM-Technical Document [R]. Fourth edition. New-York, http://www.riskmetrics.com, 1996.
[159] Pre, P. D., Runggaldier, W. J., and Tolotti, M. Pathwise optimality for benchmark tracking [R]. http://www.math.unipd.it/-runggal/DPTrevised.pdf, 2002, Working Paper.
[160] Roberts, H. Statistical versus clinical prediction of the stock market. Unpublished manuscript, Centee for research in security prices, University of Chicago, 1967.
[161] Yao, D. D., Zhang, S. Z., Zhou, X. Y. Tracking a financial Benchmark using a few assets [R]. http://www.se.cuhk.edu.hk/-zhang/Reports/seem2003-10.txt, 2003, Working Paper.
[162] 蔡乙萍,万力,范旭东. 各种指数基金模型的实证比较分析. 数量经济技术经济研究,2006, 10: 130-140.
[163] 陈辰,范龙振,叶锋. 指数证券组合模拟市场指数的聚类 MTV 方法. 管理工程学报,2001, 15(4): 23-28.
[164] 陈春锋,陈伟忠. 积极指数化:一种全新的投资模式. 证券市场导报,2004, 11: 16-21.
[165] 陈立新,刘建. 减小指数投资组合跟踪误差的研究. 辽宁工程技术大学学报,2002, 21(3): 383-385.
[166] 陈守东,孟庆顺,孔繁利. 上海股市的阶段性分析与有效性检验. 学习与探索,2005, 1: 216-217.
[167] 陈伟忠,李健飞,陈春锋. 指数优化复制中的流动性改进:基于上证 180 指数的实证研究. 系统工程,2005, 23(2): 55-61.
[168] 陈小悦,陈晓. 中国股市弱型效率的实证研究. 会计研究,1997, 9: 13-17.
[169] 戴国强,陆蓉. 中国股票市场的周末效应检验. 金融研究,1999, 4: 48-54.
[170] 范龙振. 深圳股票市场的弱有效性. 管理工程学报,1998, 12(1): 35-38.
[171] 范龙振,王海涛,何华. 我国股票市场指数及指数证券投资组合. 管理科学学报, 2002, 5(5): 11-17.
[172] 方毅,张屹山. 跟踪误差下积极资产组合投资的风险约束机制. 中国管理科学,2006, 8: 19-24.
[173] 高鸿祯. 关于上海股市效率性的探讨. 厦门大学学报(社科版),1996, 4: 13-18.
[174] 高用深,权丽平. 指数基金探析. 山西财经大学学报,2000, 22(5): 90-92.
[175] 何孝星,于宏凯.条件 CAPM 下我国证券投资基金业绩的实证研究. 南开经济研究,2003, 6:68-71.
[176] 胡畏,范龙振. 上海股票市场有效性实证检验. 预测,2000, 19(2): 61-64.
[177] 胡畏,聂曙光,张明.中国证券投资基金业绩的中短期持续性.系统工程,2004, 22(4): 44-48.
[178] 胡朝霞. 中国股市弱式有效性研究. 投资研究,1998, 1: 28-34.
[179] 贾权,陈章武. 中国股市有效性的实证分析. 金融研究,2003,7: 86-92.
[180] 蒋瑛琨, 刘艳武, 赵振全. 货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择. 金融研究. 2005(5).
[181] 靳云汇,李学. 中国证券市场半强态有效性检验:买壳上市分析.金融研究, 2000, 1: 85-91.
[182] 赖民,赵世舜,宋立新. 关于投资收益-风险模型等价性的证明. 吉林大学学报[理学版],2003, 41(4):454-457.
[183] 李俭富, 马永开, 曾勇. 指数跟踪研究评述. 当代经济管理,2005, 27(6): 19-24.
[184] 刘柏清,朱正佑,秦成林,李华. 具有非常数回报率的证券指数跟踪问题的简单脉冲控制. 上海大学学报 2002, 8(l): 68-72.
[185] 刘艳武,蒋瑛琨. Sharpe 指数评价中国证券市场基金业绩的适用性. 金融研究,2004(10).
[186] 马骥. 跟踪误差的风险分析. 商业研究,2004, 3:6-8.
[187] 马永开,唐小我. 基于跟踪误差的证券组合投资决策模型研究. 系统工程理论与实践,2001, 12: 11-16.
[188] 倪苏云,吴冲锋. 跟踪误差最小化的线性规划模型. 系统工程理论方法应用,2001, 10(3): 198-201.
[189] 倪苏云,肖辉.中国证券投资基金业绩持续性研究. 预测,2002, 21(6): 41-44.
[190] 屈颖爽,陈守东,王晨. 跟踪误差约束下指数化投资组合优化的实证分析. 工业技术经济,2008, 1: 121-124.
[191] 沈维涛,黄兴孪. 我国证券投资基金业绩的实证研究与评价. 经济研究,2001, 9: 22-30.
[192] 沈艺峰,吴世农. 中国证券市场过度反应了吗?. 经济研究,1999, 2: 21-26.
[193] 宋颂兴,金伟根. 上海股市市场有效实证研究. 经济学家,1995, 4: 107-113.
[194] 王健,方强.封闭式证券投资基金业绩实证分析. 武汉理工大学学报(社会科学版),2002, 15(l): 35-39.
[195] 王开国. 中国证券市场超常规创新的理性思考. 中国社会科学,2001, 1: 79-90.
[196] 王哲,王春峰. 小波分析在股价数据分析中的应用. 系统工程学报,1999, 14(3): 286-289.
[197] 魏刚. 我国上市公司股利分配的实证研究. 经济研究,1998, 6: 30-36.
[198] 吴启芳,汪寿阳,黎建强.中国证券投资基金业绩的持续性检验.管理评论,2003, 15(11): 23-28.
[199] 吴世农. 上海股票市场效率的分析与评价. 投资研究,1994, 8: 44-47.
[200] 吴世农. 深圳股票市场效能的实证研究. 管理工程学报,1995, 9(1): 66-72.
[201] 吴世农. 我国证券市场效率的分析.经济研究,1996, 4: 13-19.
[202] 吴世农,陈斌. 风险度量方法与金融资产配置模型的理论和实证研究. 经济研究,1999, 9:30-38.
[203] 习严武,洪道麟. 我国指数基金运作与绩效研究. 统计研究,2000,12: 30-35.
[204] 解保华,高荣兴.国股票市场有效性实证检验数量经济技术.经济研究,2000, 5: 100-103.
[205] 于瑾. 我国证券投资基金业绩归因分析的实证研究. 中国软科学,2004, 9: 74-78.
[206] 俞乔. 市场有效性、周期异常与股价波动. 经济研究,1994, 9: 43-50.
[207] 张兵,李晓明. 中国股票市场的渐进有效性研究. 经济研究,2003, 1: 54-61.
[208] 张玲. ETFs 跟踪误差产生的原因探讨. 证券市场导报,2002, 11: 44-49.
[209] 张人骥,朱平方,王怀方. 上海证券市场过度反应的实证检验. 经济研究,1998, 5: 58-64.
[210] 张思奇,冉华. 上海股票市场的“星期五效应”. 经济管理,2000, 8: 49-51.
[211] 张思奇,马刚. 股票市场风险,收益与市场效率:ARMA-ARCH-M 模型. 世界经济,2002, 23(5): 19-28.
[212] 张新,杜书明.中国证券投资基金能否战胜市场?. 金融研究,2002, 1: 1-22.
[213] 张亦春,周颖刚. 中国股市弱式有效吗?. 金融研究,2001, 3: 34-40.
[214] 赵旭,吴冲锋. 证券投资基金业绩与持续性评价的实证研究一基于 DEA模型与 R/S 模型的评价. 管理科学,2004, 17(4): 58-64.
[215] 赵宇龙. 会计盈余披露的信息含量:来自上海股市的经验证据经济研究. 经济研究,1998, 7: 41-49.
[216] 庄云志,唐旭. 基金业绩持续性的研究. 金融研究,2004, 5: 20-27.
[217] 陈灯塔,郑承利. 协方差矩阵预测及其投资策略研究,2004,Working paper.
[218] 陈守东,赵振全,赵云立. 证券投资理论与分析[M]. 吉林大学出版社,2001.
[219] 陈道富主编. 证券投资基金 [M]. 中国广播电视大学出版社,2004.
[220] 陈忠伟,陈春锋等. 指数组合优化方法、模型与应用.上证研究第十一期[M].复旦大学出版社,2004.
[221] 费里. 指数基金[M]. 中译本. 上海财经大学出版社,2004.
[222] 菲利普·乔瑞. VaR:金融风险管理新标准[M]. 中译本. 中信出版社,2005.
[223] 黄福广. 证券投资基金评级理论与方法[M]. 中国经济出版社,2005.
[224] 蒋瑛琨. 中国证券投资基金业绩评价研究[博士论文]. 2005.
[225] 康跃,田新民.指数化投资:理论与实务[M].首都经济贸易大学出版社,2005.
[226] 吴世农.证券市场基础理论与创新问题研究[N].证券时报,2002 年 12 月 31日.
① 数据来源:摩根士丹利(Morgan Stanley Investment Strategies),彭博社(Bloomberg),资料日期:截止至 2006/11/31
① 参见李俭富,马永开,曾勇. 指数跟踪研究评述. 当代经济管理,2005,12:19-24.
① 数据来源:《中国证券期货统计年鉴》(1995～2007)
② 数据来源:《中国证券报》(2007 年 5 月 15 日)
① VaR summarizes the worst loss over a target horizon with a given level of confidence.
① 见Rubinstein M. Markowitz’s “Portfolio Selection”: A fifty year retrospective[J]. Journal of Finance, 2002, 57: 1041-1045.
① 详细证明过程见:赖民,赵世舜,宋立新. 关于投资收益-风险模型等价性的证明. 吉林大学学报[理学版], 2003, 41(4):454-457.
① 详见Roll R. A mean-variance analysis of tracking error. Journal of Portfolio Management, 1992, 18(4): 13-22.
① 详见Jorion P. Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 2003(4): 70-82.
② 该协会以发起注册金融分析师(Chartered Financial Analyst,CFA)计划而全球闻名
① 沪深 300 指数成份股名单详见中证指数有限公司网站:http:// www.csindex.com.cn/ sseportal/ csiportal/xzzx/file/Csi300Cons.xls
①数据来源:J. P. Morgan. RiskMetrics TM-Technical Document. Fourth edition. 1996, New-York, http://www.riskmetrics.com,
①参见蒋瑛琨.中国证券投资基金业绩评价研究[博士论文]. 2005.
① 参见刘艳武,蒋瑛琨.Sharpe指数评价中国证券市场基金业绩的适用性.金融研究,2004(10)
19博时裕富基金的跟踪标的指数自 2008 年 1 月 1 日后变更为沪深 300 指数
[1] Adcock, C. J., and Meade, N. A simple algorithm to incorportate transaction costs in quadratic optimization. European Journal of Operational Research, 1994, 79(1): 85-94.
[2] Aharony, J., and Swary, I. Quarterly dividend and earnings announcements and stock holders returns: an empirical analysis. The Journal of Finance, 1980, 35(1): 1-12.
[3] Alexander, C. Optimal hedging using cointegration. Philosophical Transactions of Royal Society of London Series A-Mathematical Physical and Engineering Sciences, 1999, 357: 2039-2058.
[4] Ammann, M., and Zimmermann, H. Tracking error and tactical asset allocation. Financial Analysts Journal, 2001, 57(2): 32-43.
[5] Bachelier, L. Theorie de la speculation ananales de I. Ecole normale Superieure, 3rd series, 1900, 17: 21-86.
[6] Banz, R. The relationship between return and market value of common stock. Journal of Financial Economics, 1981, 9(1): 3-18.
[7] Ball, R. Anonalies in relationships between securities' yields and yield-surrogates. Journal of Financial Economics, 1978, 6(2, 3): 103-126.
[8] Bamberg, Q., and Wagner, N. Equity index replication with standard and robust regression estimators. Operation Research Spektrum, 2000, 22(4): 525-543.
[9] Barber, B. M., and Odean, T. Too many cooks spoil the profits: investment club performance. Financial Analysts Journal, 2000, 56(1): 17-25.
[10] Barber, B. M., and Odean, T. Trading is hazardous to your wealth: the common stock investment performance of individual investors. The Journal of Finance, 2000, 55(2), 773-806.
[11] Basu, S. Investment performance of common stocks in relations to their price earnings ratios: A test of the efficient market hypothesis. The Journal of Finance, 1977, 32(3): 663-682.
[12] Basu, S. The relationship between earnings' yield, market value and the returnof NYSE common stocks: further evidence. Journal of Financial economics, 1983, 12(1): 129-156.
[13] Beasley, J. E., Meade, N., and Chang, T. J. An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 2003, 148(3): 621-643.
[14] Bird, R., and Gallagher, D. R. The evaluation of active manager returns in a non-symmetrical environment. Journal of Asset Management, 2002, 2: 303-324.
[15] Black, F. Capital market equilibrium with restricted borrowing. Journal of Business, 1972, 45(3): 444-455.
[16] Blitz, David. C., and Hottinga, J.Tracking Error Alloction. The Journal of Portfolio Management, 2001, Summer:19-25.
[17] Blume, E., and Friend, I. Risk investment strategies and long-run rates of return. The Review of Economics and Statistics, 1974, 12(3): 387-404.
[18] Bogle, J. C. Selecting equity mutual funds. Journal of Portfolio Management, 1992, 18:94-100.
[19] Bogle, J. C. The Implications of style analysis for mutual fund performance evaluation. The Journal of Portfolio Management, 1998, 24(4): 34-42.
[20] Bollerslev, T. Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 1986, 31(3): 307-327.
[21] Brown, S. J., and Goetzmann, W. N. Performance persistence. Journal of Finance, 1995, 50(2): 679-698.
[22] Browne, S. Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark. Finance and Stochastics, 1999, 3(3): 275-294.
[23] Cai, J., Chan, K. C., and Yamada T. The performance of Japanese mutual funds. The Review of Financial Studies, 1997, Summer.
[24] Carcia, C. B., and Gould, F. J. Survivorship bias and mutual fund performance. Journal of Portfolio Management, 1996, 19(3): 52-56.
[25] Carhart, M. On persistence in mutual fund performance. Journal of Finance, 1997, 50:57-82.
[26] Clarke, R. G., Krase, S., and Statman, M. Tracking errors, regret, and tactical asset allocation. Journal of Portfolio Management, 1994, Spring 20(3); 16-24.
[27] Connor, C., and Leland, H. Cash management for index tracking. Financial Analysts Journal, 1995, 51(6): 75-80.
[28] Consiglio, A., and Zenios, S A. Integrated simulation and optimization models for tracking international fixed income indices. Mathematical Programming, 2001, 89(2): 311-339.
[29] Davies, P. L., and Canes, M. Stock prices and the publication of second-hand information. The Journal of Business, 1978, 51(1): 43-56.
[30] Dorfleitner, G. A note on the exact replication of a stock index with a multiplier rounding method. Operational Research Spektrum, 1999, 21(4): 493-502.
[31] Elton, E. J., and Gruber, M. J. Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection. Journal of Finance, 1973, XXVII(5): 1203-1233.
[32] Elton, E. J., Gruber, M. J., and Padberg, M. W. Simple Criteria for Optimal Portfolio Selection. The Journal of Finance, 1976, 31(5): 1341-1357.
[33] Elton, E. J., and Gruber, M. J. Modern Portfolio Theory, 1950 to Date. Journal of Banking&Finance, 1997, 21(11): 1743-1759.
[34] Fama, E. F. The behavior of stock market prices. Journal of Business, 1965, 38(1): 34-106.
[35] Fama, E. F., Fisher, L., Jesen, M., and Roll, R. The adjustment of stock prices to new information. International Economic Review, 1969, 10(1): 1-21.
[36] Fama, E. F. Efficient capital markets: A review of theory and empicial work. Journal of Finance, 1970, 25(5): 383-417.
[37] Fama, E. F. Components of investment performance. Journal of Finance, 1972, 7: 551-567.
[38] Fama, E. F., and MacBeth, J. D. Risk, Return, and Equilibrium: Empirical Tests. The Journal of Political Economy, 1973, 81(3): 607-636.
[39] Fama, E. F. Efficient Capital Markets. Journal of Finance, 1991, 46(5): 1575-1617.
[40] Fama, E. F., and French, K. R. The cross-section of expected stock returns. Journal of Finance, 1992, 47(2): 427-465.
[41] Firth, M. Corportate takeovers, stockholder returns and executive rewards. Managerial and Decision Economics, 1991, 12(6):421-429.
[42] Fox, S. M. Simulating skilled active management. Journal of AssetManagement, 2002, 3(1): 73-89.
[43] Franks, E. C. Targeting excess-of-benchmark return. Journal of Portfolio Management, 1992, 18(4): 6-12.
[44] French, K. Stock returns and weekend effect. Journal of Financial Economics, 1980, 8(1): 55-69.
[45] Frino, A., and Gallagher, D. R. Is index performance achievable? An analysis of Australian equity index funds. ABACUS, 2002, 38(2): 200-214.
[46] Frino, A., Gallagher, D. R., Neubert, A., and Oetomo, T. N. Index design and implications for index tracking. The Journal of Portfolio Mangement, 2004, 30(2): 89-95.
[47] Froot, K. A., and Dabora, E. M. How are stock prices affected by the location of trade? Fournal of Financial Economics, 1999, 53(2): 189-216.
[48] Frost, P. A., and Savarino, J. E. An Empirical Bayes Approach to Efficient Portfolio Selection. The Journal of Financial and Quantitative Analysis, 1986, 21(3): 293-305.
[49] Goetzmann, W. N., Ingersoll, J., and Ivkovic, Z. Monthly measurement of daily timers. Journal of Financial and Quantitative Analysis, 2000, 35(3): 257-290.
[50] Grossman, S., and Stiglitz, J. The impossiblility of informationally efficient markets. American Economic Review, 1990, 70(1): 393-408.
[51] Gruber, M. Another puzzle: the growth in actively managed mutual funds. Journal of Finance, 1996, 51: 783-810.
[52] Gultekins, M., and Gultekin, N. Stock market seasonality, international evidence. Journal of Financial Economics, 1983, 12(4): 469-481.
[53] Haugen, R. A., and Baker, N. L. Dedicated stock portfolios. Journal of Portfolio Management, 1990, 16(4): 17-22.
[54] Henriksson, R. D., and Merton, R. C. On market timing and investment performance. II.Statistical procedures for evaluating forecasting skills. Journal of Business, 1981, 54(4): 513-533.
[55] Hodges, S. D. Problems in the application of portfolio selection models. Omega, 1976, 4(6): 699-709.
[56] Ippolito, R. A. Efficiency with costly information: A study of mutual funds. The Quarterly Journal of Economics, 1989, 104(1): 1-23.
[57] Jaffe, J. The effect of regulation changes in insider trading. Bell Journal ofEconomics and Management Science, 1974, 5(1): 93-121.
[58] Jansen, R., and Dijk, D. V. Optimal benchmark tracking with small portfolios. Journal of Portfolio Management, 2002, 28(2): 33-39.
[59] Jeffrey, R. H., and Arnott, R. D. Is your alpha big enough to cover it's taxes? Journal of Portfolio Management, 1994, 19(3): 15-26.
[60] Jensen, M. The performance of mutual funds in the period 1945-1964. Journal of Finance, 1968, 23(2): 389-416.
[61] Jensen, M. Some anomalous evidence regarding market efficiency. Journal of Financial Economics, 1978, 6(2): 95-101.
[62] Jobson, J. D., and Korkie, B. Estimation for Markowitz Efficient Portfolios. Journal of the American Statistical Association, 1980, 75(371): 544-554.
[63] Johansen, S., and Juselius, K. Maximum Likelihood Estimation and Inferences on Cointegration-with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 1990, 52: 169-210.
[64] Jorion, P. Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 2003(4): 70-82.
[65] Kahn, R. N., and Rudd, A. Does historical performance predict future performance? Financial Analysists Journal. 1995, 51(4): 43-52.
[66] Kane, A., Lee, Y. K., and Marcus, A. J. Earnings and dividend announcements: is there a corroboration effect? Journal of Finance, 1984, 34(4): 1091-1099.
[67] Keim, D. Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Enanceial Economics, 1983, 12(1): 13-32.
[68] Keim, D. B. An analysis of mutual fund design: The case of investing in small-cap stocks. Journal of Financial Economics, 1999, 51(2): 173-194.
[69] Kendall, M. J. The analysis of economic time series, Part I: Prices. Joumal of the Royal Statistical Soeiet, Series A. 1953, 96: 11-25.
[70] Keown, A. J., and Pinkerton, J. M. Merger Announcements and insider trading activity: An empirical investigation. The Journal of Finance, 1981, 36(4): 855-869.
[71] Konno, H., and Wigayanayake, A. Minimal cost index tracking under nonlinear transaction costs and minimal transaction umit constraints. International Journal of Theoretical and Applied Fiance, 2001, 4(6): 939-957.
[72] Larsen, J. G. A., and Resnick, B. G. Empirical insights on indexing. Journal ofPortfolio Management, 1998, 25(1): 51-60.
[73] Latham, M. Informational efficiency and information subsets. The Journal of Finance, 1986, 41(1): 39-52.
[74] Lawton-Browne, C. An alternative calculation of tracking error. Journal of Asset Management, 2001, 2(3): 223–234.
[75] Ledoit, O., and Wolf, M. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. Journal of Empirical Finance, 2003, 10(5): 603-621.
[76] Ledoit, O., and Wolf, M. A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 2004, 88(2): 365-411.
[77] Lee, C., and Rahman, S. Market timing, selectivity, and mutual fund performance: An empirical investigation. Journal of Business, 1997, 63(2): 261-278.
[78] Lintner, J. The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 1965, 47(1): 13-37.
[79] Liu, P., Smith, S. D., and Syed, A. A. Stock price reactions to the Wall Street Journal's securities recommendations. Journal of Financial and Quantitative Analysis, 1990, 25 (3): 399-410.
[80] Lo, A. W., and Mackinalay, A. C. Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies, 1988, 1(1): 41-66.
[81] Malkiel, B. G. Returns from investing in equity mutual funds 1971 to 1991. Journal of Finance, 1995, 50(2): 549-572.
[82] Mandelbrot, B. Forecasts of future prices unbiased markets and martingale models, securities prices: a supplement. Journal of Business, 1966, 39(1): 242-255.
[83] Mansini, R., Ogryczak, W., and Speranza, M. G. LP Solvable Models for Portfolio Optimization: A Classification and Computational Comparison. IMA Journal of Management Mathematics, 2003, 14(3): 187-220.
[84] Markowitz, H. Portfolio selection. Journal of Finance, 1952, 7(1): 77-91.
[85] Meade, N., and Salkin, G. R. Index funds-construction and performance measurement. Journal of Operational Research Society, 1989, 40(10): 871-879.
[86] Mehra, R., and Prescott, E. C. The equity premium: a puzzle. Journal of Monetary Economics, 1985, 15(2): 145-161.
[87] Meade, N., and Salkin G. R. Developing and maintaining an equity index fund. Journal of the Operational Research Society, 1990, 41(7): 599-607.
[88] Merton, R. C. Life time portfolio selection under uncertainty: the continuous case. Review of Economics and Statistics, 1969, 51(3): 247-257.
[89] Merton, R. C. An analytic derivation of the efficient portfolio frontier. Journal of Financial and Quantitative Analysis, 1972, 7(4 September):1851–1872.
[90] Merton, R. C. On estimating the expected return of the market. Journal of Financial Economics, 1980, 8(4): 323-361.
[91] Michaud, M. O. The Markowitz Optimization Enigma: Is 'Optimized' Optimal? Financial Analysts Journal, 1989, 45(1): 31-42.
[92] Mikkelson, W. H., and Partch, M. M. Stock price effects and costs of secondary distributions. Journal of Financial Economics, 1985, 14(2):165-194.
[93] Mills, T. C., and Coutts, J. A. Anomalies and calendar affects in the new FT-SE Indices. European Journal of Finance, 1995, 1: 79-93.
[94] Mossin, J. Equilibrium in a capital asset market. Econometrica, 1966, 34(4): 768-783.
[95] Osbonre, M. M. Brownian motion in the stock market. Operations Researeh, 1959, 7(2): 145-173.
[96] Peters, E. E. Fractal structure in the capital markets. Financial Analysts Journal, 1989, 45(4): 32-37.
[97] Perold, A. R. Large scale portfolio optimization. Journal of Management Science, 1984, 30(10): 1143-1160.
[98] Pettit, R. R. Commission rates structures-their impact on research, information and market efficiency. Journal of Contemporary Business, 1976, 5(3): 29-42.
[99] Pope, P. F., and Yadav, P. K. Discovering errors in tracking error. Journal of Portfolio Management, 1994, 20(2): 27-32.
[100] Rendleman, R. J., Jones, C. P., and Latane, H. A. Empirical anomalies based on unexpected earnings and the importance of risk adjustments. Journal of Financial Economics, 1982, 10(3): 269-287.
[101] Rohweder, H. C. Implementing stock selection ideas: Does tracking error optimization do any good? Journal of Portfolio Management, 1998, 24(3):49-59.
[102] Roll, R. A mean-variance analysis of tracking error. Journal of Portfolio Management, 1992, 18(4): 13-22.
[103] Ross, S. A. Arbitrage theory of capital pricing. Journal of Economic Theory, 1976, 13(3): 341-360.
[104] Rozeff, M. S., and Kinney, W. R. Capital market seasonality: the case of stock returns. Journal of Financial Economics, 1976, 3(4): 379-402.
[105] Rubinstein, M. Securities market efficiency in an arrow-debreu economy. The American Economic Review, 1975, 65(5): 812-824.
[106] Rubinstein, M. The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science, 1976, 7(2): 407-425.
[107] Rubinstein, M. Markowitz’s “Portfolio Selection”: A fifty year retrospective. Journal of Finance, 2002, 57(3): 1041-1045.
[108] Rudd, A. Optimal selection of passive portfolios. Financial Management, 1980, 9(1):57-66.
[109] Rudolf, M., Wolter, H. J., and Zimmernann, H. A linear model for tracking error minimization. Journal of Banking & Finance, 1999, 23(1): 85-103.
[110] Quigley, Q., and Sinquefield, R. A. Performance of UK equity unit trusts. Journal of Asset Management, 2000, 1(1): 72-92.
[111] Samuelson, P. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 1965, 6(2): 41-49.
[112] Scholes, M. S. The Market for Securities: Substitution versus price pressure and the effects of information on share prices. The Journal of Business, 1972, 45(2): 179-211.
[113] Seyhun, H. N. Insiders' profits, costs of rrading, and market efficiency. Journal of Financial Economics, 1986, 16(2): 189-232.
[114] Sharpe, W. F. A Simplified Model for Portfolio Analysis. Management Science, 1963, 9(2): 277-293.
[115] Sharpe, W. F. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 1964, 19(3): 425-442.
[116] Sharpe, W, F. Mutual fund performance. Journal of Business, 1966, 39(1): 119-138.
[117] Sharpe, W. F. Decentralized investment management. Journal of Finance, 1981, 36(2): 217-234.
[118] Sharpe, W. F. Asset allocation: Management style and performance measurement. Journal of Portfolio Management, 1992, 18(2): 7-19.
[119] Sorensen, E. H., Miller, K. L., and Samak, V. Allocating between active and passive management. Financial Analysts Journal, 1998, 54(5): 18-31.
[120] Steinbatch, M. C. Markowitz Revisited Mean-Variance Models in Financial Portfolio Analysis. Society for Industrial and Applied Mathematics, 2002, 73(1): 31-85.
[121] Surz, R. J., Stevens, D., and Wimmer, M. Investment policy explains all. Financial Analysists Journal, 2000, 56(1): 43-47.
[122] Tabata, Y., and Takeda, E. Bicriteria optimization problem of designing and index fund. Journal of the Operational Research Society, 1995, 46(8): 1023-1032.
[123] Taylor, S. J. The measure theory of random fractals. Mathematical proceedings of the Cambridge Philosophical Society, 1986, 100(3): 383-406.
[124] Taylor, S. J. Modelling stochastic bolatility: a review and comparative study. Mathematical finance, 1994, 4(2): 183-204.
[125] Toy, W. M., and Zurack, M. A. Tracking the Euro-Pac index. Journal of Portfolio Management, 1989, 15(2): 55-58.
[126] Treynor, J. How to rate management of investment funds. Harvard Business Review, 1965(1): 63-75.
[127] Treynor, J., and Mazuy, K. Can mutual funds outguess the market? Harvard Business Review, 1966(44): 131-136.
[128] Treynor, J., and Black, F. How to use security analysis to improve selection. Journal of Business, 1973(46): 66-86.
[129] Treynor, J. L., and Black, F. How to use security analysis to improve portfolio selection. Journal of Business, 1974, 41(1): 48-60.
[130] Vardharaj, R., Fabozzi, F. J., and Jones, F. J. Determinants of Tracking Error for Equity Portfolios. The Journal of Investing, 2004, Summer: 37-47.
[131] Walsh, D. M., Walsh, K. D., and Evans, J. P. Assessing Estimation Error in A Tracking Error Variance Minimisation Framework. Pacific-Basin Finance Journal, 1998, 6(1-2): 175-192.
[132] Wang, M. Y. Multiple-benchmark and multiple-portfolio optimization. Financial Analysts Journal, 1999, 51(l): 63-72.
[133] Watts, R. L. Systematic "abnormal" returns after quarterly earnings announcements. Journal of Financial Economics, 1978, 6(2, 3): 127-130.
[134] Wermers, R. Mutual fund performance: an empirical decomposition into stock-picking talent, style, transactions costs and expenses. Journal of Finance, 2000, 55(4): 1655-1703.
[135] Worzel, K. J., Zeniou, C. M., and Zenions, S. A. Integrated simulation and optimization models for tracking indices of fixed-income securities. Operations Research, 1994, 42(2): 223-233.
[136] Zenions, S. A., Holmer, M. R., McKendall, R., and Zeniou, C. V. Dynamic models for fixed-income Portfolio management under uncertainty. Journal of Economic Dynamics and Control, 1998, 22(10): 1517-1541.
[137] Zeniou, C. V., and Zenions, S. A. Robust optimization models for managing callable bond portfolios. European Journal of Operational Research, 1996, 91(2): 264-273.
[138] Zorin, A., and Borisov, A. Traditional and index tracking methods for portfolio construction by means of neural networks. Information Technology and Management Science, 2002, 1-9.
[139] Baestaens, D. E., and Bergh, V. D. Tracking the Amsterdam stock index using neural networks [M]. Neural Networks in Capital Markets, edited. Refenes AP John Wiley&sons, 1995, 149-161.
[140] Bogle, J. C. An index fundamentalist goes back to the drawing board [M]. Bogle Financial Markets Research Center, 2002.
[141] Brock, W. A., Hsieh, D., and LeBaron, B. A test for nonlinear dynamics chaos ans instability [M]. Cambridge, Mass. MIT Press, 1991.
[142] Chiang, W. Optimizing Performance [M]. Indexing for Maximum Investment Results, GPCo Publishers, 1998.
[143] Friedman, M. The case for flexible exchange rates [M]. Eassaye in Posipive Economics, Chicago: University of Chicago Press, 1995.
[144] Grinold, R. C., and Kahn, R. N. Active portfolio management [M]. Chicago: Irwin, 1995.
[145] Jorion, P. Value at Risk: The new benchmark for managing financial risk [M]. New York: McGraw-Hill, 2000.
[146] Malkiel, B. Efficient Market Hypothesis. in Newman P., Milgate M., Eatwell J. (ed.) New Palgrave Dictionary of Money and Finance, London: Macmillan, 1992.
[147] Markowitz, H. Portfolio Selection: Efficient Diversification of Investments [M]. New York: John Wiley & Sons, 1959.
[148] Olama, A. Implementing equity index portfolios [M]. Indexing for Maximum Investment Results, GPCo Publishers, 1998.
[149] Roberts, H. Stateistical versus clinical prediction of the stock market. Unpubilshed Manuscript [M]. CRSP Chicago: University of Chicago, 1967.
[150] Taylor, S. J. Modelling financial time series [M]. New York: Wiley, 1994.
[151] Alexander, C., and Dimitriu, A. Equity indexing cointegration and stock price dispersion a regime switching approach to market efficiency [R]. ISMA Centre Discussion Paper in finance, 2003, Working Paper.
[152] Ammann, M., and Tobleer, Q. Measurement and Decomposition of Tracking Error Variance [R]. http://www. fmpm.ch /files/4th/ammanntobler.pdf 2000, Working Paper.
[153] Corielli, F., and Marcellino, M. Factor based index tracking [R]. http:// www. cepr. org/pubs/dps/DP3265.asp, 2002, Working Paper.
[154] Eddelbuttel, D., and Marseilles. A hybrid genetic algorithm for passive management [R]. Second Conference Computing in Economics and finance, Society of computational Economics, Geneva, Switzerland, 1996, Working Paper.
[155] Focardi, S.M. Clustering economic and financial time series: exploring the existence of stable correlation conditions. Technical Report 2001-04, The Intertek Group, 2001.
[156] Gilli, M., and Kellezi, E. Threshold accepting for index tracking [R]. http://www. unige.ch/ses/metri/gilli/portfolio/Yale-2001-IT.pdf, 2001, Working Paper.
[157] Hwang, S., and Satchell, S. E. Tracking error: ex-ante versus ex-post measures [R]. 2001, Working Paper.
[158] J. P. Morgan. RiskMetricsTM-Technical Document [R]. Fourth edition. New-York, http://www.riskmetrics.com, 1996.
[159] Pre, P. D., Runggaldier, W. J., and Tolotti, M. Pathwise optimality for benchmark tracking [R]. http://www.math.unipd.it/-runggal/DPTrevised.pdf, 2002, Working Paper.
[160] Roberts, H. Statistical versus clinical prediction of the stock market. Unpublished manuscript, Centee for research in security prices, University of Chicago, 1967.
[161] Yao, D. D., Zhang, S. Z., Zhou, X. Y. Tracking a financial Benchmark using a few assets [R]. http://www.se.cuhk.edu.hk/-zhang/Reports/seem2003-10.txt, 2003, Working Paper.
[162] 蔡乙萍,万力,范旭东. 各种指数基金模型的实证比较分析. 数量经济技术经济研究,2006, 10: 130-140.
[163] 陈辰,范龙振,叶锋. 指数证券组合模拟市场指数的聚类 MTV 方法. 管理工程学报,2001, 15(4): 23-28.
[164] 陈春锋,陈伟忠. 积极指数化:一种全新的投资模式. 证券市场导报,2004, 11: 16-21.
[165] 陈立新,刘建. 减小指数投资组合跟踪误差的研究. 辽宁工程技术大学学报,2002, 21(3): 383-385.
[166] 陈守东,孟庆顺,孔繁利. 上海股市的阶段性分析与有效性检验. 学习与探索,2005, 1: 216-217.
[167] 陈伟忠,李健飞,陈春锋. 指数优化复制中的流动性改进:基于上证 180 指数的实证研究. 系统工程,2005, 23(2): 55-61.
[168] 陈小悦,陈晓. 中国股市弱型效率的实证研究. 会计研究,1997, 9: 13-17.
[169] 戴国强,陆蓉. 中国股票市场的周末效应检验. 金融研究,1999, 4: 48-54.
[170] 范龙振. 深圳股票市场的弱有效性. 管理工程学报,1998, 12(1): 35-38.
[171] 范龙振,王海涛,何华. 我国股票市场指数及指数证券投资组合. 管理科学学报, 2002, 5(5): 11-17.
[172] 方毅,张屹山. 跟踪误差下积极资产组合投资的风险约束机制. 中国管理科学,2006, 8: 19-24.
[173] 高鸿祯. 关于上海股市效率性的探讨. 厦门大学学报(社科版),1996, 4: 13-18.
[174] 高用深,权丽平. 指数基金探析. 山西财经大学学报,2000, 22(5): 90-92.
[175] 何孝星,于宏凯.条件 CAPM 下我国证券投资基金业绩的实证研究. 南开经济研究,2003, 6:68-71.
[176] 胡畏,范龙振. 上海股票市场有效性实证检验. 预测,2000, 19(2): 61-64.
[177] 胡畏,聂曙光,张明.中国证券投资基金业绩的中短期持续性.系统工程,2004, 22(4): 44-48.
[178] 胡朝霞. 中国股市弱式有效性研究. 投资研究,1998, 1: 28-34.
[179] 贾权,陈章武. 中国股市有效性的实证分析. 金融研究,2003,7: 86-92.
[180] 蒋瑛琨, 刘艳武, 赵振全. 货币渠道与信贷渠道传导机制有效性的实证分析——兼论货币政策中介目标的选择. 金融研究. 2005(5).
[181] 靳云汇,李学. 中国证券市场半强态有效性检验:买壳上市分析.金融研究, 2000, 1: 85-91.
[182] 赖民,赵世舜,宋立新. 关于投资收益-风险模型等价性的证明. 吉林大学学报[理学版],2003, 41(4):454-457.
[183] 李俭富, 马永开, 曾勇. 指数跟踪研究评述. 当代经济管理,2005, 27(6): 19-24.
[184] 刘柏清,朱正佑,秦成林,李华. 具有非常数回报率的证券指数跟踪问题的简单脉冲控制. 上海大学学报 2002, 8(l): 68-72.
[185] 刘艳武,蒋瑛琨. Sharpe 指数评价中国证券市场基金业绩的适用性. 金融研究,2004(10).
[186] 马骥. 跟踪误差的风险分析. 商业研究,2004, 3:6-8.
[187] 马永开,唐小我. 基于跟踪误差的证券组合投资决策模型研究. 系统工程理论与实践,2001, 12: 11-16.
[188] 倪苏云,吴冲锋. 跟踪误差最小化的线性规划模型. 系统工程理论方法应用,2001, 10(3): 198-201.
[189] 倪苏云,肖辉.中国证券投资基金业绩持续性研究. 预测,2002, 21(6): 41-44.
[190] 屈颖爽,陈守东,王晨. 跟踪误差约束下指数化投资组合优化的实证分析. 工业技术经济,2008, 1: 121-124.
[191] 沈维涛,黄兴孪. 我国证券投资基金业绩的实证研究与评价. 经济研究,2001, 9: 22-30.
[192] 沈艺峰,吴世农. 中国证券市场过度反应了吗?. 经济研究,1999, 2: 21-26.
[193] 宋颂兴,金伟根. 上海股市市场有效实证研究. 经济学家,1995, 4: 107-113.
[194] 王健,方强.封闭式证券投资基金业绩实证分析. 武汉理工大学学报(社会科学版),2002, 15(l): 35-39.
[195] 王开国. 中国证券市场超常规创新的理性思考. 中国社会科学,2001, 1: 79-90.
[196] 王哲,王春峰. 小波分析在股价数据分析中的应用. 系统工程学报,1999, 14(3): 286-289.
[197] 魏刚. 我国上市公司股利分配的实证研究. 经济研究,1998, 6: 30-36.
[198] 吴启芳,汪寿阳,黎建强.中国证券投资基金业绩的持续性检验.管理评论,2003, 15(11): 23-28.
[199] 吴世农. 上海股票市场效率的分析与评价. 投资研究,1994, 8: 44-47.
[200] 吴世农. 深圳股票市场效能的实证研究. 管理工程学报,1995, 9(1): 66-72.
[201] 吴世农. 我国证券市场效率的分析.经济研究,1996, 4: 13-19.
[202] 吴世农,陈斌. 风险度量方法与金融资产配置模型的理论和实证研究. 经济研究,1999, 9:30-38.
[203] 习严武,洪道麟. 我国指数基金运作与绩效研究. 统计研究,2000,12: 30-35.
[204] 解保华,高荣兴.国股票市场有效性实证检验数量经济技术.经济研究,2000, 5: 100-103.
[205] 于瑾. 我国证券投资基金业绩归因分析的实证研究. 中国软科学,2004, 9: 74-78.
[206] 俞乔. 市场有效性、周期异常与股价波动. 经济研究,1994, 9: 43-50.
[207] 张兵,李晓明. 中国股票市场的渐进有效性研究. 经济研究,2003, 1: 54-61.
[208] 张玲. ETFs 跟踪误差产生的原因探讨. 证券市场导报,2002, 11: 44-49.
[209] 张人骥,朱平方,王怀方. 上海证券市场过度反应的实证检验. 经济研究,1998, 5: 58-64.
[210] 张思奇,冉华. 上海股票市场的“星期五效应”. 经济管理,2000, 8: 49-51.
[211] 张思奇,马刚. 股票市场风险,收益与市场效率:ARMA-ARCH-M 模型. 世界经济,2002, 23(5): 19-28.
[212] 张新,杜书明.中国证券投资基金能否战胜市场?. 金融研究,2002, 1: 1-22.
[213] 张亦春,周颖刚. 中国股市弱式有效吗?. 金融研究,2001, 3: 34-40.
[214] 赵旭,吴冲锋. 证券投资基金业绩与持续性评价的实证研究一基于 DEA模型与 R/S 模型的评价. 管理科学,2004, 17(4): 58-64.
[215] 赵宇龙. 会计盈余披露的信息含量:来自上海股市的经验证据经济研究. 经济研究,1998, 7: 41-49.
[216] 庄云志,唐旭. 基金业绩持续性的研究. 金融研究,2004, 5: 20-27.
[217] 陈灯塔,郑承利. 协方差矩阵预测及其投资策略研究,2004,Working paper.
[218] 陈守东,赵振全,赵云立. 证券投资理论与分析[M]. 吉林大学出版社,2001.
[219] 陈道富主编. 证券投资基金 [M]. 中国广播电视大学出版社,2004.
[220] 陈忠伟,陈春锋等. 指数组合优化方法、模型与应用.上证研究第十一期[M].复旦大学出版社,2004.
[221] 费里. 指数基金[M]. 中译本. 上海财经大学出版社,2004.
[222] 菲利普·乔瑞. VaR:金融风险管理新标准[M]. 中译本. 中信出版社,2005.
[223] 黄福广. 证券投资基金评级理论与方法[M]. 中国经济出版社,2005.
[224] 蒋瑛琨. 中国证券投资基金业绩评价研究[博士论文]. 2005.
[225] 康跃,田新民.指数化投资:理论与实务[M].首都经济贸易大学出版社,2005.
[226] 吴世农.证券市场基础理论与创新问题研究[N].证券时报,2002 年 12 月 31日.
© 2004-2018 中国地质图书馆版权所有 京ICP备05064691号 京公网安备11010802017129号 地址：北京市海淀区学院路29号 邮编：100083 电话：办公室：(+86 10)66554848；文献借阅、咨询服务、科技查新：66554700 |