Essays in equity indexation methods

Agarwal, N 2015, Essays in equity indexation methods, Masters by Research, Economics, Finance and Marketing, RMIT University.


Document type: Thesis
Collection: Theses

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Title Essays in equity indexation methods
Author(s) Agarwal, N
Year 2015
Abstract Most major stock market indexes across the globe are based on the market capitalization or price weighted index method, which has been derived from modern portfolio theory introduced by Harry Markowitz (1952). However, over the last decade, we have seen the rise of alternate indexation methods and they have been introduced as researchers have shown that the market capitalization and price weighted indexes are actually non-optimal (Arnott, Hsu and Moore 2005).

As a result, alternate indexation methods were introduced to outperform underlying market cap or price indexes by providing a higher alpha or by diversifying risk for the same level of return. Existing alternate indexes are fundamental, equal weighted or risk based indexes. This thesis analyses these models and provides a new model where it intends to increase alpha, while reducing risk in comparison to the underlying stock index.

Degree Masters by Research
Institution RMIT University
School, Department or Centre Economics, Finance and Marketing
Keyword(s) portfolio theory
equity indexation
portfolio construction
asset pricing
fundamental indexation
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Created: Fri, 24 Jul 2015, 09:11:13 EST by Denise Paciocco
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