Equity Index Construction
Journal of Index Investing, Vol. 2, No. 2, pp. 36-39, 2011
Posted: 15 Sep 2011
Date Written: September 14, 2011
Abstract
In this article, the author detail the historic background behind the science of constructing a country or global index. He argues that the industry has largely developed from practitioners rather than academia. He shows how a country index is related to the market portfolio of the capital market pricing model and details the trade-offs that modern index constructors have to make.
Keywords: equity, index, indexes, stock-market, index construction benchmark, S&P 500, FTSE
JEL Classification: G12, G11
Suggested Citation: Suggested Citation
Broby, Daniel P. and Broby, Daniel P., Equity Index Construction (September 14, 2011). Journal of Index Investing, Vol. 2, No. 2, pp. 36-39, 2011, Available at SSRN: https://ssrn.com/abstract=1927729
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