Modeling exchange traded funds portfolio using optimization model

Lo Ka Kuen Kenneth; Kin Keung Lai; Kaijian He

doi:10.1109/BIFE.2013.43

Modeling exchange traded funds portfolio using optimization model

Lo Ka Kuen Kenneth
, Kin Keung Lai
, Kaijian He

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

2 Citations (Scopus)

Abstract

In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.

Original language	English
Title of host publication	Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Publisher	IEEE
Pages	201-205
ISBN (Print)	9781479947775
DOIs	https://doi.org/10.1109/BIFE.2013.43
Publication status	Published - 18 Nov 2014
Event	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 - Hangzhou, Zhejiang, China Duration: 14 Nov 2013 → 16 Nov 2013

Conference

Conference	6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013
Place	China
City	Hangzhou, Zhejiang
Period	14/11/13 → 16/11/13

Research Keywords

Exchange Traded Funds
Markowitz Portfolio Optimization
Standard Deviation

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10.1109/BIFE.2013.43

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title = "Modeling exchange traded funds portfolio using optimization model",

abstract = "In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.",

keywords = "Exchange Traded Funds, Markowitz Portfolio Optimization, Standard Deviation",

author = "Kenneth, \{Lo Ka Kuen\} and Lai, \{Kin Keung\} and Kaijian He",

year = "2014",

month = nov,

day = "18",

doi = "10.1109/BIFE.2013.43",

language = "English",

isbn = "9781479947775",

pages = "201--205",

booktitle = "Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013",

publisher = "IEEE",

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note = "6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013 ; Conference date: 14-11-2013 Through 16-11-2013",

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Kenneth, LKK, Lai, KK & He, K 2014, Modeling exchange traded funds portfolio using optimization model. in Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013., 6961121, IEEE, pp. 201-205, 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013, Hangzhou, Zhejiang, China, 14/11/13. https://doi.org/10.1109/BIFE.2013.43

Modeling exchange traded funds portfolio using optimization model. / Kenneth, Lo Ka Kuen; Lai, Kin Keung; He, Kaijian.
Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013. IEEE, 2014. p. 201-205 6961121.

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

TY - GEN

T1 - Modeling exchange traded funds portfolio using optimization model

AU - Kenneth, Lo Ka Kuen

AU - Lai, Kin Keung

AU - He, Kaijian

PY - 2014/11/18

Y1 - 2014/11/18

N2 - In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.

AB - In recent years Exchange Traded Funds has emerged as an important investment alternative that combines both the low risk and high liquidity advantages. The construction and active management of ETFs are the central issues for the exploitation of its potential. This paper conducts the empirical studies, using the Markowitz portfolio optimization model, to construct an optimal ETF portfolio in the emerging markets. We found that the portfolio performance improves with the proposed approach against the benchmark market indexes. The performance is sensitive to the optimization criteria chosen and optimization parameters used.

KW - Exchange Traded Funds

KW - Markowitz Portfolio Optimization

KW - Standard Deviation

UR - https://www.scopus.com/pages/publications/84917707217

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84917707217&origin=recordpage

U2 - 10.1109/BIFE.2013.43

DO - 10.1109/BIFE.2013.43

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9781479947775

SP - 201

EP - 205

BT - Proceedings - 2013 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

PB - IEEE

T2 - 6th International Conference on Business Intelligence and Financial Engineering, BIFE 2013

Y2 - 14 November 2013 through 16 November 2013

ER -

Modeling exchange traded funds portfolio using optimization model

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