| Title |
Kointegravimo principo panaudojimas sudarant investicinius portfelius / |
| Translation of Title |
Constructing portfolios by applying cointegration relationships. |
| Authors |
Nečiūnas, Audrius |
| Full Text |
|
| Pages |
82 |
| Keywords [eng] |
stock portfolio ; cointegration ; ADF test |
| Abstract [eng] |
In this study there is realized a model of constructing portfolios by using mathematical programming language MathCad. Much attention is paid to explore the portfolios which are modeled to track an index. If tracking portfolio and index are cointegrated together, portfolio can not drift too far from the index because the tracking error is mean-reverting. This study should help us to decide in what way it is better to allocate our funds when choosing portfolio for tracking the index. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2008 |
