A Guide to Equity Index Construction (2nd Edition)
First published:
ISBN: 9781782724483
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Bibliography
Bibliography
Preface
Acknowledgements
Introduction
Which benchmark?
Modern portfolio theory and the benchmark index
Sampling and selection
Construction method
Making the index investable
Collection and processing of data
Servicing and maintenance
How to handle industries
How to handle countries and currencies
Factor indices and smart beta
Innovative indices
The commercial indices
Indexation and exchange-traded funds
Bespoke “custom-made” indices
Tying it all together
Appendix: The GICS methodology
Bibliography
Disclaimer
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Amenc, N., F. Goltz, and A. Lodh, 2012, “Choose Your Betas: Benchmarking Alternative Equity Index Strategies”, The Journal of Portfolio Management 39(1), pp. 89–111.
Amihud, Y., H. Mendelson, and L. H. Pedersen, 2006, “Liquidity and Asset Prices”, Foundations and Trends® in Finance 1(4), pp. 269–364.
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