Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
نویسندگان
چکیده
منابع مشابه
Intraday Empirical Analysis and Modeling of Diversified World Stock Indices
This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normali...
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ژورنال
عنوان ژورنال: Asia-Pacific Financial Markets
سال: 2005
ISSN: 1387-2834,1573-6946
DOI: 10.1007/s10690-006-9010-0