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Title: Index investment strategy
Authors: Han, E-Lin
Huang, Shijia
Wah, Janis Siyu
Keywords: DRNTU::Business::Finance::Investments
Issue Date: 2005
Abstract: This study aims to formulate a portfolio model that replicates the returns of the Standard and Poor's 500 Index by minimising tracking error. Stock selection is based on stratified sampling and correlation between the stock and the index's returns. Effects of short selling constraint, rebalancing, and transaction costs are investigated.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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