Indexfondens konkurrenskraft gentemot den effektiva portföljen
(2005)Department of Economics
- Abstract
- The intention of this paper is to investigate the performance of two mean-variance portfolios – one without short-sales restrictions and the other with the short-sales restriction – compared to the performance of an index, AFGX, and an index-fund, SHB Aktiefond Index. As an approximation the two mean-variance portfolios are created with the largest and most traded 16 company’s on the Stockholm Stock Exchange in each month during the test period. The Sharpe’s ratio is used as a measurement of performance and the Sharpe’s significance test is applied to assert if deviations between the different portfolios Sharpe’s ratios are evident. The empirical results reported here, which are consistent with previous research, show that the... (More)
- The intention of this paper is to investigate the performance of two mean-variance portfolios – one without short-sales restrictions and the other with the short-sales restriction – compared to the performance of an index, AFGX, and an index-fund, SHB Aktiefond Index. As an approximation the two mean-variance portfolios are created with the largest and most traded 16 company’s on the Stockholm Stock Exchange in each month during the test period. The Sharpe’s ratio is used as a measurement of performance and the Sharpe’s significance test is applied to assert if deviations between the different portfolios Sharpe’s ratios are evident. The empirical results reported here, which are consistent with previous research, show that the MV-portfolio, without short sales, generates significant difference in performance from the other portfolios throughout the aggregated evaluation period. These results are thereby inconsistent with the EMM (The Efficient market model) and to some extent the CAPM. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1644149
- author
- Wahlström, Tomas
- supervisor
- organization
- year
- 2005
- type
- M2 - Bachelor Degree
- subject
- keywords
- Efficient portfolio, Mean-variance, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- Swedish
- id
- 1644149
- date added to LUP
- 2005-04-22 00:00:00
- date last changed
- 2010-08-03 14:45:31
@misc{1644149,
abstract = {{The intention of this paper is to investigate the performance of two mean-variance portfolios – one without short-sales restrictions and the other with the short-sales restriction – compared to the performance of an index, AFGX, and an index-fund, SHB Aktiefond Index. As an approximation the two mean-variance portfolios are created with the largest and most traded 16 company’s on the Stockholm Stock Exchange in each month during the test period. The Sharpe’s ratio is used as a measurement of performance and the Sharpe’s significance test is applied to assert if deviations between the different portfolios Sharpe’s ratios are evident. The empirical results reported here, which are consistent with previous research, show that the MV-portfolio, without short sales, generates significant difference in performance from the other portfolios throughout the aggregated evaluation period. These results are thereby inconsistent with the EMM (The Efficient market model) and to some extent the CAPM.}},
author = {{Wahlström, Tomas}},
language = {{swe}},
note = {{Student Paper}},
title = {{Indexfondens konkurrenskraft gentemot den effektiva portföljen}},
year = {{2005}},
}