| 摘要 |
A computer-implemented method, a computer-readable medium and a data processing apparatus are provided for calculating an index of a financial instrument being weighted with optimized weights. The financial instrument comprises a plurality of constituents. Data reflecting characteristics of the constituents is collected. Based on the collected data, continuous returns are calculated for each of the plurality of constituents. The continuous returns are used for determining a covariance matrix. The weights of all the constituents are optimized by using the covariance matrix. The constituents of the financial instrument are weighted with their respective optimized weights. An index of the financial instrument having its constituents weighted with the optimized weights is determined. The weights of the constituents are kept constant for a predetermined period in time before updated optimized weights are calculated.
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