Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results
Dikaios Tserkezos () (Department of Economics, University of Crete, Greece) George Xanthos () (Technical Institute of Crete)
Abstract
In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated data effects very seriously the efficiency of the constructed portfolio. Especially as the degree of temporal aggregation increases the application of optimization techniques could lead to different results regarding the percentage of stocks participation, the weights and finally the total portfolio performance.
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Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number
0812.
Length: 27 pages Date of creation: 00 2007 Date of revision: Publication status: Published in Operational Research Journal ,Volume 7 Handle: RePEc:crt:wpaper:0812