Approximating the growth optimal portfolio with a diversified world stock index

Le, T; Platen, E

Approximating the growth optimal portfolio with a diversified world stock index

Le, T Platen, E

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Publication Type:: Journal Article
Citation:: Journal of Risk Finance, 2006, 7 (5), pp. 559 - 574
Issue Date:: 2006-10-01

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Field	Value	Language
dc.contributor.author	Le, T	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2006-10-01	en_US
dc.identifier.citation	Journal of Risk Finance, 2006, 7 (5), pp. 559 - 574	en_US
dc.identifier.issn	1526-5943	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5249
dc.description.abstract	© 2006, © Emerald Group Publishing Limited. Purpose – This paper aims to construct and compare various total-return world stock indices based on daily data. Design/methodology/approach – Because of diversification, these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. Findings – The paper constructs a diversified world stock index that outperforms a number of other indices and argues that it is a good proxy for the growth optimal portfolio. Originality/value – The diversified world stock index has applications to derivative pricing and investment management.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0559879
dc.relation.ispartof	Journal of Risk Finance	en_US
dc.relation.isbasedon	10.1108/15265940610716115	en_US
dc.title	Approximating the growth optimal portfolio with a diversified world stock index	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	7	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	5	en_US
pubs.publication-status	Published	en_US
pubs.volume	7	en_US

Abstract:

© 2006, © Emerald Group Publishing Limited. Purpose – This paper aims to construct and compare various total-return world stock indices based on daily data. Design/methodology/approach – Because of diversification, these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. Findings – The paper constructs a diversified world stock index that outperforms a number of other indices and argues that it is a good proxy for the growth optimal portfolio. Originality/value – The diversified world stock index has applications to derivative pricing and investment management.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/5249