Year: 2006
Type: article
Abstract: Purpose This paper aims to construct and compare various total‐return world stock indices based on daily data. Design/methodology/approach Because of diversification, these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal portfolio. Findings The paper constructs a diversified world stock index that outperforms a number of other indices and argues that it is a good proxy for the growth optimal portfolio. Originality/value The diversified world stock index has applications to derivative pricing and investment management.
Source: The Journal of Risk Finance
Authors: Truc Le, Eckhard Platen
Institution: University of Technology Sydney
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1557490013