Le, Truc; Platen, Eckhard - In: Journal of Risk Finance 7 (2006) November, pp. 559-574
Purpose – This paper aims to construct and compare various total-return world stock indices based on daily data. Design … portfolio as a proxy for the growth optimal portfolio. Findings – The paper constructs a diversified world stock index that … diversified world stock index has applications to derivative pricing and investment management. …