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Sinopsis
I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation,. Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund.
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Acerca del autor
LUCA FEDELE holds degrees from University Luigi Bocconi (undergraduate degree in finance; MSc in Finance). He worked as financial advisor and economist at an investment firm located in Chile. He currently is the portfolio manager of the pension fund managed by BBVA Chile Asset Management. This paper is his first published work.
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Index tracking strategies using Cointegration
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VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
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Librería: Books Puddle, New York, NY, Estados Unidos de America
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Condición: New. pp. 68. Nº de ref. del artículo: 26128896382
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Index tracking strategies using Cointegration
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LAP LAMBERT Academic Publishing Mrz 2011, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
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Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation, Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund. 68 pp. Englisch. Nº de ref. del artículo: 9783844323481
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Index tracking strategies using Cointegration
Publicado por
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
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Librería: Majestic Books, Hounslow, Reino Unido
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Index tracking strategies using Cointegration
Publicado por
VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
Nuevo
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Librería: Biblios, Frankfurt am main, HESSE, Alemania
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Condición: New. PRINT ON DEMAND pp. 68. Nº de ref. del artículo: 18128896372
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Index tracking strategies using Cointegration
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
Nuevo
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Librería: moluna, Greven, Alemania
Calificación del vendedor: 4 de 5 estrellas
Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Fedele LucaLUCA FEDELE holds degrees from University Luigi Bocconi (undergraduate degree in finance MSc in Finance). He worked as financial advisor and economist at an investment firm located in Chile. He currently is the portfolio . Nº de ref. del artículo: 5472775
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Index tracking strategies using Cointegration
Publicado por
LAP LAMBERT Academic Publishing Mär 2011, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
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Taschenbuch
Librería: buchversandmimpf2000, Emtmannsberg, BAYE, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. Neuware -I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation, Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund.Books on Demand GmbH, Überseering 33, 22297 Hamburg 68 pp. Englisch. Nº de ref. del artículo: 9783844323481
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Index tracking strategies using Cointegration : A comparison with tracking error variance minimization model
Publicado por
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844323481
ISBN 13: 9783844323481
Nuevo
Taschenbuch
Librería: AHA-BUCH GmbH, Einbeck, Alemania
Calificación del vendedor: 5 de 5 estrellas
Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation, Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund. Nº de ref. del artículo: 9783844323481
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EUR 60,60
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Cantidad disponible: 1 disponibles