INDEX PORT FOLIO CONSTRUCTING METHOD

摘要

PURPOSE:To provide the index port folio constructing method which uses bank ing assets in consideration of time variation of the assets. CONSTITUTION:Past data on the banking assets and an index that a port folio should follow are read out of a data base 6 (1). A structure analysis of assets groups and index is taken to select assets having a structure similar to the index (2). A structure analysis of the selected assets group is taken again and the price variation value of the assets is calculated according to the structure (3). The price variation value is used to optimize an incorporation rate (4) so that the port folio consisting of the assets group follows the index value. Consequently, the port folio can be constructed in consideration of the price variation of the banking assets.