Article ID Journal Published Year Pages File Type
1023479 Transportation Research Part E: Logistics and Transportation Review 2013 19 Pages PDF
Abstract

This paper reproduces the performance of an international market capitalization shipping stock index and two physical shipping indexes by investing only in US stock portfolios. The index-tracking problem is addressed using the differential evolution algorithm and the genetic algorithm. Portfolios are constructed by a subset of stocks picked from the shipping or the Dow Jones Composite Average indexes. To test the performance of the heuristics, three different trading scenarios are examined: annually, quarterly and monthly rebalancing, accounting for transaction costs where necessary. Competing portfolios are also assessed through predictive ability tests. Overall, the proposed investment strategies carry less risk compared to the tracked benchmark indexes while providing investors the opportunity to efficiently replicate the performance of both the stock and physical shipping indexes in the most cost-effective way.

► Index-tracking problem for maritime indexes. ► Application of evolutionary algorithms by investing in stock portfolios. ► Annually, quarterly and monthly rebalancing, accounting for transaction costs. ► Competing portfolios are also assessed through predictive ability tests. ► Proposed investment strategies are less risky, efficient, and cost-effective.

Related Topics
Social Sciences and Humanities Business, Management and Accounting Business and International Management
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