Index investment strategy

• Main Authors: Han, E-Lin, Huang, Shijia, Wah, Janis Siyu
• Other Authors: Zhao, Yonggan
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Investments
• Online Access: http://hdl.handle.net/10356/9800
• Institution: 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...