Advanced Search
MyIDEAS: Login

Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange

Contents:

Author Info

  • Darasteanu, Catalin Cristian

    (Institute of Agricultural Economics, Romanian Academy, Bucharest)

Registered author(s):

    Abstract

    This 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.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Journal for Economic Forecasting.

    Volume (Year): (2003)
    Issue (Month): 3 (September)
    Pages: 49-71

    as in new window
    Handle: RePEc:rjr:romjef:v::y:2003:i:3:p:49-71

    Contact details of provider:
    Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucure┼čti 761172
    Phone: 004 021 3188148
    Fax: 004 021 3188148
    Email:
    Web page: http://www.ipe.ro/
    More information through EDIRC

    Related research

    Keywords: efficient portfolio; risk analysis; cut-off point method; ARCH/GARCH models; forecasting the conditional variance;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2003:i:3:p:49-71. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.