Determination the Parameters of Markowitz Portfolio Optimization Model
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| Yayımlandı: | arXiv.org (Oct 22, 2012), p. n/a |
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Cornell University Library, arXiv.org
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| Online Erişim: | Citation/Abstract Full text outside of ProQuest |
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| 001 | 2086605971 | ||
| 003 | UK-CbPIL | ||
| 022 | |a 2331-8422 | ||
| 035 | |a 2086605971 | ||
| 045 | 0 | |b d20121022 | |
| 100 | 1 | |a Bayraktar, Ertugrul | |
| 245 | 1 | |a Determination the Parameters of Markowitz Portfolio Optimization Model | |
| 260 | |b Cornell University Library, arXiv.org |c Oct 22, 2012 | ||
| 513 | |a Working Paper | ||
| 520 | 3 | |a The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the simulation, the expected returns and the covariance matrix are computed from historical data observed for past n days and the target returns are chosen as multiples of the return of the market index. The trading strategy is to buy a stock if the simulation resulted in a feasible solution and sell the stock after exactly m days, independently from the market conditions. The actual returns are computed for n and m being equal to 21, 42, 63, 84 and 105 days and we have seen that the best return is obtained when the observation period is 2 or 3 times the investment period. | |
| 653 | |a Simulation | ||
| 653 | |a Covariance matrix | ||
| 653 | |a Markets | ||
| 653 | |a Currency exchanges | ||
| 653 | |a Computation | ||
| 653 | |a Economic conditions | ||
| 653 | |a Parameter estimation | ||
| 653 | |a Stock exchanges | ||
| 653 | |a Computer simulation | ||
| 653 | |a Optimization | ||
| 653 | |a Portfolio management | ||
| 700 | 1 | |a Bilge, Ayse Humeyra | |
| 773 | 0 | |t arXiv.org |g (Oct 22, 2012), p. n/a | |
| 786 | 0 | |d ProQuest |t Engineering Database | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/2086605971/abstract/embedded/6A8EOT78XXH2IG52?source=fedsrch |
| 856 | 4 | 0 | |3 Full text outside of ProQuest |u http://arxiv.org/abs/1210.5859 |