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On the application of cointegration analysis in enhanced indexing/ created by Nikolaos S. Thomaidis

By: Material type: TextTextSeries: Applied economics letters ; Volume 20, number 4New York: Taylor and Francis, 2013Content type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISSN:
  • 13504851
Subject(s): LOC classification:
  • HB1.A666 APP
Online resources: Abstract: We investigate the application of cointegration techniques in designing trading portfolios that outperform a market benchmark. Of particular interest is the situation of enhanced indexation with incomplete portfolios, that is, by imposing a limit on the maximum number of assets included in the portfolio. We present a technique for solving cardinality-constrained portfolio selection problems using cointegration analysis. We investigate the empirical performance of cointegration-based trading strategies in the context of benchmarking portfolios relative to a common stock market index.
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Holdings
Item type Current library Call number Vol info Copy number Status Notes Date due Barcode
Journal Article Journal Article Main Library - Special Collections HB1.A666 APP (Browse shelf(Opens below)) Vol. 20, no.4 (pages 391-396) SP17976 Not for loan For in house use only

We investigate the application of cointegration techniques in designing trading portfolios that outperform a market benchmark. Of particular interest is the situation of enhanced indexation with incomplete portfolios, that is, by imposing a limit on the maximum number of assets included in the portfolio. We present a technique for solving cardinality-constrained portfolio selection problems using cointegration analysis. We investigate the empirical performance of cointegration-based trading strategies in the context of benchmarking portfolios relative to a common stock market index.

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