Approximating the Growth Optimal Portfolio with a Diversified World Stock Index

Truc Le and Eckhard Platen ()
Additional contact information
Truc Le: School of Finance and Economics, University of Technology, Sydney, http://www.business.uts.edu.au/finance/

No 184, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This paper constructs and compares various total return world stock indices based on daily data. Due to diversification these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. 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. This has applications to derivative pricing and investment management.

Keywords: world stock index; growth optimal portfolio; diversification; mean-variance portfolio selection; enhanced index fund (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Date: 2006-09-01
View list of references View citations in EconPapers

Downloads: (external link)
http://www.business.uts.edu.au/qfrc/research/research_papers/rp184.pdf (application/pdf)

Related works:
Working Paper: Approximating the Growth Optimal Portfolio with a Diversified World Stock Index (2006)
Journal Article: Approximating the growth optimal portfolio with a diversified world stock index (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:uts:rpaper:184

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney
Address: PO Box 123, Broadway, NSW 2007, Australia
Contact information at EDIRC.
Series data maintained by Duncan Ford ().