Designing Proxies for Stock Market Indices is Computationally Hard

Details Designing Proxies for Stock Market Indices is Computationally Hard Designing Proxies for Stock Market Indices is Computationally Hard

2000-11-13

arxiv.org/abs/cs/0011016v1

Computer Science

Computational Engineering, Finance, and Science

An abstract appeared in the Proceedings of the 10th Annual ACM-SIAM Symposium on Discrete Algorithms, 1999

Scientific paper

In this paper, we study the problem of designing proxies (or portfolios) for various stock market indices based on historical data. We use four different methods for computing market indices, all of which are formulas used in actual stock market analysis. For each index, we consider three criteria for designing the proxy: the proxy must either track the market index, outperform the market index, or perform within a margin of error of the index while maintaining a low volatility. In eleven of the twelve cases (all combinations of four indices with three criteria except the problem of sacrificing return for less volatility using the price-relative index) we show that the problem is NP-hard, and hence most likely intractable.

Affiliated with

Also associated with

No associations

Rating

Designing Proxies for Stock Market Indices is Computationally Hard does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Designing Proxies for Stock Market Indices is Computationally Hard, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Designing Proxies for Stock Market Indices is Computationally Hard will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-380802