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dc.contributor.authorGrobys, Klausen
dc.date.accessioned2011-08-15-
dc.date.accessioned2011-08-31T12:09:00Z-
dc.date.available2011-08-31T12:09:00Z-
dc.date.issued2011-
dc.identifier.citation|aJournal of Applied Finance & Banking|c1792-6599|v1|h1|nInternational Scientific Press|y2011|p143-162en
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
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.jelC13en
dc.subject.jelC22en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordstock selectionen
dc.subject.keywordoptimization procedureen
dc.subject.keywordcointegrationen
dc.subject.keywordquasi-maximum-likelihood estimationen
dc.subject.keywordindex-trackingen
dc.titleThe stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market-
dc.typeArticleen
dc.identifier.ppn665969201en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
econstor.citation.journaltitleJournal of Applied Finance & Bankingen
econstor.citation.issn1792-6599en
econstor.citation.volume1en
econstor.citation.issue1en
econstor.citation.publisherInternational Scientific Pressen
econstor.citation.year2011en
econstor.citation.startpage143en
econstor.citation.endpage162en

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