Advanced Search
MyIDEAS: Login to save this paper or follow this series

Multivariate statistical analysis for portfolio selection of italian stock market

Contents:

Author Info

  • Alessia Naccarato
  • Andrea Pierini

Abstract

The use of bivariate cointegrated vector autoregressive models and Baba-Engle-Kraft-Kroner models ( Engle et al. 1995), is proposed for the selection of a stock portfolio (Markowitz type portfolio) based on estimates of average returns on shares and the volatility of share prices. The model put forward envisages the use of explicative variables. This article employs the intrinsic value of shares as a variable, which will make it possible to take the theory of value into account. The model put forward is applied to a series of data regarding the prices of 150 shares traded on the Italian stock market.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://dipeco.uniroma3.it/public/WP%20166%20Naccarato%20Pierini.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0166.

as in new window
Length:
Date of creation: Oct 2012
Date of revision:
Handle: RePEc:rtr:wpaper:0166

Contact details of provider:
Postal: Via Silvio d'Amico 77, - 00145 Rome Italy
Phone: +39 06 57114612
Fax: +39 06 57114771
Email:
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC

Related research

Keywords: Markowitz Portfolio; Cointegrated Vector Autoregressive Models; BEKK Model;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

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:rtr:wpaper:0166. 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: (Telephone for information).

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.