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Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies

  • Christian L. Dunis
  • Richard Ho
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  • 2.1k Downloads

Abstract

Financial markets are highly interdependent and for many decades portfolio managers have scrutinised the comovements between markets. It is regrettable, however, that traditional quantitative portfolio construction still heavily relies on the analysis of correlations for modelling the complex interdependences between financial assets. Admittedly, the application of the concept of correlation has been improved and, over the last ten years, following the generalised use of the JP Morgan (1994) RiskMetrics approach, quantitative portfolio managers have made increasing use of conditional correlations.

Keywords

Stock Market Fund Manager Sharpe Ratio Portfolio Weight Index Tracking 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© The Editor(s) 2016

Authors and Affiliations

  • Christian L. Dunis
    • 1
    • 2
    • 3
    • 4
  • Richard Ho
    • 5
  1. 1.CIBEF - Centre for International Banking, Economics and FinanceJMULiverpoolUK
  2. 2.Liverpool John Moores UniversityUK
  3. 3.Centre for International Banking, Economics and Finance (CIBEF)UK
  4. 4.European Journal of FinanceUK
  5. 5.Centre for International Banking, Economics and FinanceLiverpool John Moores UniversityUK

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