Index investment strategy

• Main Authors: Han, E-Lin, Huang, Shijia, Wah, Janis Siyu
• 其他作者: Zhao, Yonggan
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::Finance::Investments
• 在線閱讀: http://hdl.handle.net/10356/9800
• 機構: Nanyang Technological University

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...