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dc.contributor.authorGrobys, Klausen_US
dc.date.accessioned2011-08-15en_US
dc.date.accessioned2011-08-31T12:09:00Z-
dc.date.available2011-08-31T12:09:00Z-
dc.date.issued2011en_US
dc.identifier.citationJournal of Applied Finance & Banking 1792-6599 1 2011 1 143-162en_US
dc.identifier.urihttp://hdl.handle.net/10419/49036-
dc.description.abstractPassive 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.en_US
dc.language.isoengen_US
dc.subject.jelC13en_US
dc.subject.jelC22en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordstock selectionen_US
dc.subject.keywordoptimization procedureen_US
dc.subject.keywordcointegrationen_US
dc.subject.keywordquasi-maximum-likelihood estimationen_US
dc.subject.keywordindex-trackingen_US
dc.titleThe stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock marketen_US
dc.typeArticleen_US
dc.identifier.ppn665969201en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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