Mr Hakim Mezali
John Crank 406
Tel: +44 (0)1895 265678
My PhD research is based within financial mathematics, operational research and economics. I am considering the problem of reproducing the performance of a stock market index but without purchasing all the stocks that make up the index, i.e. Index Tracking. It is a kind of a passively managed mutual fund that tries to mirror the performance of a specific index. Since portfolio decisions are automatic and transactions are infrequent, expenses tend to be lower than those of actively managed funds. My aim is to track an index. I also consider the problem of the out-performing the index i.e. Enhanced Indexation. It attempts to generate modest excess returns compared to index fund and other passive management techniques. However, enhanced indexing also to a certain extent resembles active management because it allows managers the latitude to certain deviations from underlying index. These deviations can be used to minimize transaction costs and turnover, or to maximize tax-efficiency. Like active investing, enhanced indexing exposes itself to high tracking error in order to gain high returns. Mathematically, the approaches adopted are those of optimisation, specifically discrete optimisation. The project will involve the use of mixed-integer linear programming and a variety of different models for index tracking and enhanced indexation will be investigated.
University Research Centre Membership
Research Group Membership