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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| Format: | Final Year Project |
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2008
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| Online Access: | http://hdl.handle.net/10356/9800 |
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| Institution: | Nanyang Technological University |
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sg-ntu-dr.10356-98002023-05-19T05:45:02Z Index investment strategy Han, E-Lin Huang, Shijia Wah, Janis Siyu Zhao, Yonggan Nanyang Business School DRNTU::Business::Finance::Investments 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, rebalancing, and transaction costs are investigated. 2008-09-24T07:36:31Z 2008-09-24T07:36:31Z 2005 2005 Final Year Project (FYP) http://hdl.handle.net/10356/9800 Nanyang Technological University application/pdf |
| institution |
Nanyang Technological University |
| building |
NTU Library |
| continent |
Asia |
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Singapore Singapore |
| content_provider |
NTU Library |
| collection |
DR-NTU |
| topic |
DRNTU::Business::Finance::Investments |
| spellingShingle |
DRNTU::Business::Finance::Investments Han, E-Lin Huang, Shijia Wah, Janis Siyu Index investment strategy |
| description |
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, rebalancing, and transaction costs are investigated. |
| author2 |
Zhao, Yonggan |
| author_facet |
Zhao, Yonggan Han, E-Lin Huang, Shijia Wah, Janis Siyu |
| format |
Final Year Project |
| author |
Han, E-Lin Huang, Shijia Wah, Janis Siyu |
| author_sort |
Han, E-Lin |
| title |
Index investment strategy |
| title_short |
Index investment strategy |
| title_full |
Index investment strategy |
| title_fullStr |
Index investment strategy |
| title_full_unstemmed |
Index investment strategy |
| title_sort |
index investment strategy |
| publishDate |
2008 |
| url |
http://hdl.handle.net/10356/9800 |
| _version_ |
1770563700896301056 |