Index Tracking Strategies Using by Fedele Luca (7 results)

Condition: New. pp. 68.

Taschenbuch. Condition: 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.

Taschenbuch. Condition: 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.

Condition: New. Print on Demand pp. 68 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.

Condition: New. PRINT ON DEMAND pp. 68.

Condition: 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 .

Taschenbuch. Condition: 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.