Univrsity Of Tehran Press Financial Research Journal 1024-8153 17 2 2015 09 23 Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach 325 340 52081 10.22059/jfr.2015.52081 FA Saeid Fallahpour Assistant Prof. Department of Finance and Insurance, Faculty of Management, University of Tehran, Iran Farid Tondnevis MSc. Student, Financial Engineering Faculty of Management, University of Tehran, Iran Journal Article 2014 04 30 index tracking is the process of developing a portfolio that reproduces the performance of an index. The tracker portfolio has relatively good diversity and low turnover and low transaction costs. In this paper we applied a binary programming model for index tracking problem. In this model the number of assets for portfolio construction is defined by portfolio manager. The robust optimization framework is applied for considering data uncertainty of correlation coefficient. The out of sample test demonstrated that considering the data uncertainty by robust optimization framework decrease the tracking error and increase the information ratio of portfolio. index tracking is the process of developing a portfolio that reproduces the performance of an index. The tracker portfolio has relatively good diversity and low turnover and low transaction costs. In this paper we applied a binary programming model for index tracking problem. In this model the number of assets for portfolio construction is defined by portfolio manager. The robust optimization framework is applied for considering data uncertainty of correlation coefficient. The out of sample test demonstrated that considering the data uncertainty by robust optimization framework decrease the tracking error and increase the information ratio of portfolio. https://jfr.ut.ac.ir/article_52081_6dbe523032e74da51d47dd44aa7ed477.pdf