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Inflation rate tracking portfolio optimization method: Evidence from Japan

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  • Nakagawa, Kei
  • Suimon, Yoshiyuki

Abstract

Index tracking portfolio is a portfolio that tracks economic indicators or stock indexes. In this study, we propose an inflation rate tracing portfolio method that considers the portfolio turnover and the target return in the past inflation phase. The method is formulated as a quadratic programming problem, and the optimization algorithm is derived. We verify the advantages of the method using Japanese inflation rate data.

Suggested Citation

  • Nakagawa, Kei & Suimon, Yoshiyuki, 2022. "Inflation rate tracking portfolio optimization method: Evidence from Japan," Finance Research Letters, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003531
    DOI: 10.1016/j.frl.2022.103130
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    References listed on IDEAS

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    1. Hammouda, Amira & Saeed, Asif & Vidal, Marta & Vidal-García, Javier, 2023. "On the short-term persistence of mutual fund performance in Europe," Research in International Business and Finance, Elsevier, vol. 65(C).

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