Index Tracking Based on LARS-Lasso and Its Application to Stock Index Future Arbitrage

2011 
We use the method of choose covariates of multi-regression to do research on index tracking and stock index future arbitrage,we use LARS algorithm to solve the positive constraint Lasso problem, and give a new method to construct portfolio.And find that:the spot portfolio which used Lasso method has smaller tracking error while using small numbers of stocks.Also,we use the tracking error to study the spot-future arbitrage of HS300,and get good results.
    • Correction
    • Source
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    1
    Citations
    NaN
    KQI
    []