Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/49036 
Authors: 
Year of Publication: 
2011
Citation: 
[Journal:] Journal of Applied Finance & Banking [ISSN:] 1792-6599 [Volume:] 1 [Issue:] 1 [Publisher:] International Scientific Press [Year:] 2011 [Pages:] 143-162
Publisher: 
International Scientific Press
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.
Subjects: 
stock selection
optimization procedure
cointegration
quasi-maximum-likelihood estimation
index-tracking
JEL: 
C13
C22
G11
G12
Document Type: 
Article

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