Approximating the growth optimal portfolio with a diversified world stock index

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dc.contributor.author Le, T
dc.contributor.author Platen, E
dc.date.accessioned 2009-12-21T02:37:26Z
dc.date.issued 2006-01
dc.identifier.citation The Journal of Risk Finance, 2006, 7 (5), pp. 559 - 574
dc.identifier.issn 1526-5943
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5249
dc.description.abstract 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.
dc.publisher Emerald Group Publishing Ltd.
dc.relation.isbasedon 10.1108/15265940610716115
dc.title Approximating the growth optimal portfolio with a diversified world stock index
dc.type Journal Article
dc.parent The Journal of Risk Finance
dc.journal.volume 5
dc.journal.volume 7
dc.journal.number 5 en_US
dc.publocation Bradford, UK en_US
dc.publocation New York, USA
dc.identifier.startpage 559 en_US
dc.identifier.endpage 574 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 970685
dc.personcode 996890
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.edition 1
dc.description.keywords portfolio investment
dc.description.keywords stocks
dc.description.keywords world economy
pubs.embargo.period Not known
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/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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