Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange
AbstractThis paper presents a way of constructing several efficient portfolios at the Bucharest Stock Exchange, as well as a risk analysis of the respective portfolios. Therefore, the study is divided into two parts. The first part deals with the construction of optimal portfolios by using the cut-off technique. The new constructed portfolios are supposed to offer more returns than several other financial assets from the Romanian markets. The second part will include an estimation of the risk of the constructed portfolios. In the latter section of this part, we will forecast the conditional variance of the portfolios.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Journal for Economic Forecasting.
Volume (Year): (2003)
Issue (Month): 3 (September)
Contact details of provider:
Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/
More information through EDIRC
efficient portfolio; risk analysis; cut-off point method; ARCH/GARCH models; forecasting the conditional variance;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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