决策、次可加递归“匹配”噪声和风险加权股票/债券指数计算方法的偏差在部分可观测多属性偏好的不完全市场中
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
摘要：
虽然指数，指数跟踪基金和ETF在过去十年中越来越受欢迎，但指数计算方法和ETF的法律/经济结构存在许多固有的结构性问题。根据美国证券法，这些问题引发了可采取行动的适用性和欺诈问题，因为大多数指数和ETF都具有误导性，存在重大跟踪误差，并且没有反映出它们应该跟踪的内容。本文通过以下方式对现有文献做出贡献：a）介绍和描述风险调整指数加权方法中固有的误差和偏差以及相关的不利影响; b）显示指数计算方法中固有的这些偏差/影响如何降低社会福利，并可能形成有害套利活动的基础。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
