KTH Matematik  

Matematisk Statistik

Tid: 17 mars 2008 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Lilly Zuo

Titel: Diversity weighting on ETF:s

Sammanfattning: The mean-variance theory from classical CAPM proposes a linear relation between the risk and the return, by assuming no arbitrage in a perfectly efficient market. Although there are several statistical tests of various forms of the efficient market hypothesis (Taylor 1986, and Malkiel 1990), none of these constitutes a test of no-arbitrage. Under the assumption of a diverse market, it is possible to construct a portfolio which outperforms the market portfolio with non-increasing volatility. This holds, even when transaction costs are introduced. The strategy can be applied to construct exchange traded funds (ETF) that outperform the pure market capitalization weighted fund, as most of the stock indexes are market capitalization weighted. The performance could be improved even further by building a portfolio based on entropy measure on stock analyst recommendations.

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Sidansvarig: Filip Lindskog
Uppdaterad: 28/02-2008