On March 28th Dr. Kostas Andriosopoulos presented one of his research papers at the Centre for Financial and Risk Management at Audencia Nantes School of Management.
The topic of the paper was "Performance replication of the Spot Energy Index with optimal equity portfolio selection: evidence from the UK, US and Brazilian markets" .
"This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools including only stocks of the energy sector from the US and the UK respectively. Daily data are used and the index-tracking problem for passive investment is addressed with two innovative evolutionary algorithms; the differential evolution algorithm and the genetic algorithm, respectively. The performance of the suggested investment strategy is tested under three different scenarios: buy-and-hold, quarterly, and monthly rebalancing; accounting for transaction costs where necessary. "
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