*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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