Equity index construction

Broby, Daniel (2011) Equity index construction. The Journal of Index Investing, 2 (2). pp. 36-39. (https://doi.org/10.3905/jii.2011.2.2.036)

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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