參考文獻
國外參考文獻:
1.Alex.Frino and David R.Gallagher 2001”Tracking S&p500 Index Funds,”Fall, the Journal of Portfolio Management,P44-55.
2.Andrews, C., D. Ford, and K. Mallison, 1986, The Design of Index Funds and Alternative Methods of Replication, The Investment Analysis, October, p16-23.
3.Collins, Bruce M., "Index Fund Investment Management," in Frank J. Fabozzi, eds, Portfolio & Investment Management, Probus Publishing company, 1989, p. 183-200.
4.Elton, Edwin J., Gruber, Martin J.," Mordern Portfolio Theory and Investment Analysis, 5th ed., New York : John Wiley & Sons, 1995.
5.Elton,Edwin J., and Gruber, Martin J“A multi-index Risk Model of the Japanese Stock Price Market,” Japan and the World Economy,1 No. 1,1988,P127-153..
6.Glen A Larsen Jr; “Empirical Insights on Indexing, ” Journal of Portfolio Management, New York; Fall 1998; Vol. 25, p. 51-60
7.King, Benjamine," Market and Industry Factors in Stock Price Behavior," Journal of Business, Jan. 1966, p. 139-140.
8.Levy,H.and H. M. Markowitz," Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, June 1979, p. 308-317.
9.Meade,N. and G. R. Salkin, 1989, Index Funds-Construction and Performance Measurement, Journal of Operational Research 40, 871-879.
10.Markowitz,Harry, 1952, Portfolio Selection, The Journal of Finance, p77-91.
11.Markowitz, Harry, 1987, Mean-Variance Analysis in Portfolio Choice and Capital Markets, 1st Edit. Basil Blackwell Ltd New York
12.Meade,N, and G.R ,Salkin, “Developing and Maintaining an Equity Index Fund ”, Journal of the Operating Research Society 1990,p871-879
13.Powell,M.J.D., On the Quadratic Programming Algorithm of Goldfarb and Idnani ,Mathematical Programming Study 25,1985,p46-61
14.Paul Newbold and Theodore Bos 1990 “Introductory Business Forecasting” p447-449; p451-453
15.Rudd, A., 1980, Optimal Selection of Passive Portfolios, Financial Management, Spring,p 57-66.
16.Roll,R,“A Mean/Analysis of Tracking Error,” the Journal of Portfolio Management,summer,1992.p13-21.
17.Roll,Richard, and Ross,Stephen. “Economic Forces and the Stock Market,” Journal of business 59 July 1986,P386-403 ”
18.Ross, S. A." The Arbitrage Theory of Capital Asset Pricing," Journal of Economic Theory, 13, 1976, p. 343-362.
19.Rudolf, Markus; “A Linear Model for Tracking Error Minimization”
Journal of Banking & Finance, Amsterdam; Jan 1999; Vol. 23, p. 85-103
20.Sharpe, W. F.," Capital Asset Prices : A Theory of Market Equilibrium nuder Condition of Risk," The Journal of Finance, Sept. 1964, p.425-442.
21.Sorensen, Eric, Salomon, R. S. Davenport, Caroline, and Fiore, Maria. Risk Analysis : The Effect of Key Macroeconomic and Market Factors on Portfolio Return, Salomon Brothers, Nov. 1989.
22.Vihang Errunza; “Can the Gains from international Diversification Be Achieved Without Trading Abroad ” The Journal of Finance, Cambridge; Dec 1999; Vol. 54, pg. 2075, 33 pgs
國內文獻:
23.翁許細,「指數基金特性與設計方式之研究-以台灣為例」,台灣大學財務金融研究所碩士論文,民國八十三年六月。24.楊智元,「台灣指數型基金之組成方式與績效評估」,國立台灣大學財務金融所碩士論文,民國八十四年。25.卞志祥,「台灣加權股價指數投資組合之基因演算法建構模型」,國立交通大學資訊管理研究所碩士論文,民國八十五年。26.賴憲政,「平均數-變異數投資組合理論實證研究-以台灣股巿為例」,成功大學工業管理研究所碩士論文,民國八十五年六月。27.謝素娟,「現貨指數之模擬研究」,淡江大學財務金融研究所碩士論文,民國八十七年六月。28.許淑鈴,「台灣證交所加權股價指數套利之實證研究:投資組合理論模式」,國立成功大學會計學研究所碩士論文,民國八十八年。29.王金火,「指數期貨套利在台灣股票及期貨市場之獲利性--事前分析日內資料之實證研究」,國立成功大學會計系碩士論文,民國90年。30.謝劍平,「財務管理-新觀念本土化」,民國八十七年八月三版,智勝文化事業有限公司p186-187;
31. 謝劍平,「現代投資學」民國八十七年八月二版,智勝文化事業有限公司p321-331
32.吳永興,「指數基金之建構及實證分析-以平均數-變異數模型」,成功大學工業管理研究所碩士論文,民國八十五年六月。