Index investment strategy

This study aims to formulate a portfolio model that replicates the returns of the Standard and Poor's 500 Index by minimising tracking error. Stock selection is based on stratified sampling and correlation between the stock and the index's returns. Effects of short selling constraint, reba...

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Bibliographic Details
Main Authors: Han, E-Lin, Huang, Shijia, Wah, Janis Siyu
Other Authors: Zhao, Yonggan
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/9800
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Institution: Nanyang Technological University