论文标题
在不完整的市场中，决策，次加递归的“匹配”噪声和风险加权股票/债券指数计算方法的偏见，部分可观察到的多属性偏好
Decision-Making, Sub-Additive Recursive "Matching" Noise And Biases In Risk-Weighted Stock/Bond Index Calculation Methods In Incomplete Markets With Partially Observable Multi-Attribute Preferences
论文作者
论文摘要
尽管在过去的十年中，指数，索引跟踪基金和ETF的流行越来越流行，但索引计算方法和ETF的法律/经济结构固有许多结构性问题。这些问题引发了根据美国证券法所规定的适用性和欺诈行为的问题，因为大多数索引和ETF都有误导性，存在大量跟踪错误，并且不反映其应追踪的内容。本文通过以下方式为现有文献做出了贡献：a）引入和表征风险调整的指数加权方法和相关的不良影响中固有的错误和偏见； b）显示索引计算方法中固有的这些偏见/效果如何减少社会福利，并可以构成有害套利活动的基础。
While Indices, Index tracking funds and ETFs have grown in popularity during then last ten years, there are many structural problems inherent in Index calculation methodologies and the legal/economic structure of ETFs. These problems raise actionable issues of Suitability and fraud under US securities laws, because most Indices and ETFs are misleading, have substantial tracking errors and dont reflect what they are supposed to track. This article contributes to the existing literature by: a) introducing and characterizing the errors and Biases inherent in risk-adjusted index weighting methods and the associated adverse effects; b) showing how these biases/effects inherent in Index calculation methods reduce social welfare, and can form the basis for harmful arbitrage activities.
