The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market

Klaus Grobys

Journal of Applied Finance & Banking, 2011, vol. 1, issue 1, 7

Abstract: Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios’ out-of-sample performance. The empirical study here takes into account the Danish stock market from 2000-2010 and gives evidence that stock portfolios including small companies’ stocks being estimated via cointegration optimization methods are most beneficial. Only the stock portfolios exhibiting the lowest initial market capitalization corresponding to 29.51% showed a Sharpe ratio of 0.4545 and 0.4824, respectively, being higher than the stock market’s Sharpe ratio of 0.4451 concerning the out-of-sample period running from 2003-2010.

Date: 2011
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%201_1_7.pdf (application/pdf)

Related works:
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: https://EconPapers.repec.org/RePEc:spt:apfiba:v:1:y:2011:i:1:f:1_1_7

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().