Approximating the growth optimal portfolio with a diversified world stock index

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dc.contributor.author Le, Truc en_US
dc.contributor.author Platen, Eckhard en_US
dc.date.accessioned 2009-12-21T02:37:26Z
dc.date.available 2009-12-21T02:37:26Z
dc.date.issued 2006 en_US
dc.identifier 2006004671 en_US
dc.identifier.citation Le Truc and Platen Eckhard 2006, 'Approximating the growth optimal portfolio with a diversified world stock index', Emerald Group Publishing Ltd., vol. 7, no. 5, pp. 559-574. en_US
dc.identifier.issn 1526-5943 en_US
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. en_US
dc.publisher Emerald Group Publishing Ltd. en_US
dc.relation.isbasedon http://dx.doi.org/10.1108/15265940610716115 en_US
dc.title Approximating the growth optimal portfolio with a diversified world stock index en_US
dc.parent The Journal of Risk Finance en_US
dc.journal.volume 7 en_US
dc.journal.number 5 en_US
dc.publocation Bradford, UK en_US
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 150200 en_US
dc.personcode 996890 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.description.keywords portfolio investment; stocks; world economy en_US
dc.staffid 970685 en_US


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