%0 Journal Article
%T The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market
%A Klaus Grobys
%J Journal of Applied Finance and Banking
%D 2011
%I Scienpress Ltd
%X Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios¡¯ out-of-sample performance. The empirical study here takes into account the Danish stock market from 2000-2010 and gives evidence that stock portfolios including small companies¡¯ stocks being estimated via cointegration optimization methods are most beneficial. Only the stock portfolios exhibiting the lowest initial market capitalization corresponding to 29.51% showed a Sharpe ratio of 0.4545 and 0.4824, respectively, being higher than the stock market¡¯s Sharpe ratio of 0.4451 concerning the out-of-sample period running from 2003-2010.
%K Stock selection
%K Optimization procedure
%K Cointegration Quasi-Maximum-Likelihood Estimation
%K Index-Tracking.
%U http://www.scienpress.com/Upload/JAFB/Vol%201_1_7.pdf