Volume 1 Number 4 (Nov. 2012)
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IJCCE 2012 Vol.1(4): 494-496 ISSN: 2010-3743
DOI: 10.7763/IJCCE.2012.V1.121

Signal Processing and Time-frequency Analysis Application in Portfolio

Liangchuan Wu and I-Chan Tsai

Abstract—Studies show that most actively managed mutual funds struggle to beat the market, driving an increase in the popularity of index investing. Index investing instruments, including index funds and ETFs, aim to track market performance. This study pursues both tracking error minimization and excess return maximization, two conflicting objectives, to construct a portfolio. The fuzzy model that track indexes is developed and discussed.

Index Terms—portfolio, model, index.

The authors are with Institute of Technology Management, National Chung Hsing University, Taichung, Taiwan (e-mail:arthurwu@dragon.nchu.edu.tw).

Cite: Liangchuan Wu and I-Chan Tsai, "Signal Processing and Time-frequency Analysis Application in Portfolio," International Journal of Computer and Communication Engineering vol. 1, no. 4, pp. 494-496 , 2012.

General Information

ISSN: 2010-3743 (Online)
Abbreviated Title: Int. J. Comput. Commun. Eng.
Frequency: Quarterly
Editor-in-Chief: Dr. Maode Ma
Abstracting/ Indexing: INSPEC, CNKI, Google Scholar, Crossref, EBSCO, ProQuest, and Electronic Journals Library
E-mail: ijcce@iap.org
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