Developing a Multinational Index Fund

  • Nigel Meade
Conference paper
Part of the Contributions to Management Science book series (MANAGEMENT SC.)


Two approaches to portfolio selection from a multinational universe are described. The problem is addressed in the context of selecting a fund to track a multinational equity index such as Eurotrack 100. However, the results are general and can be applied whatever the objective of fund selection.


Covariance Matrix Tracking Error Portfolio Selection Capital Asset Price Model Index Fund 
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.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. Elton, J.E. and M.J. Gruber, 1987, “Modern portfolio theory and investment analysis” ( Third Edition ), Wiley, New York.Google Scholar
  2. Lintner, J., 1965, “Valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets”, Review of Economics and Statistics, 47, 13–37.CrossRefGoogle Scholar
  3. Mossin J., 1966, “Equilibrium in a Capital Asset Market”, Econometrica, 34, 768–783.CrossRefGoogle Scholar
  4. Roll, R. and S.A. Ross, 1980, “An empirical investigation of the Arbitrage Pricing Theory”, Journal of Finance, 35, 1073–1103.CrossRefGoogle Scholar
  5. Ross S.A., 1976, “The Arbitrage Pricing Theory of Capital Asset Pricing”, Journal of Economic Theory, 12, 341–360.CrossRefGoogle Scholar
  6. Sharpe, W.F., 1963, “A simplified model for portfolio analysis”, Management Science, 9, 277–293.CrossRefGoogle Scholar
  7. Sharpe, W.F., 1964, “Capital asset prices: a theory of market equilibrium under conditions of risk”, Journal of Finance, 19, 425–442.Google Scholar

Copyright information

© Physica-Verlag Heidelberg 1993

Authors and Affiliations

  • Nigel Meade
    • 1
  1. 1.The Management SchoolImperial CollegeUK

Personalised recommendations