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A Regression-Based Methodology For Efficiently Building Futures’ Portfolios

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Author Info

  • Konstantinos Maris
  • Dimitra Koutsothymiou
  • Fotios Petropoulos
  • Eleni Petra
  • Panagiotis Evangelopoulos
  • Vassilios Assimakopoulos
  • Konstantinos Nikolopoulos

Abstract

Nowadays financial markets are facing continuous values’ fluctuations, resulting in higher risks that eventually influence investors’ decisions. In this article a methodology is proposed in order to efficiently build portfolios of futures. The new methodology is tested on data from the derivative indices FTSE/ASE-20 and FTSE/ASA MID 40 in Greece. The final result is an investment decision, based on forecasting the indices’ direction. Both the statistical and economic significance of the methodology has been evaluated.

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File URL: http://econ.uop.gr/~econ/RePEc/pdf/regression_based_methodology.pdf
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Bibliographic Info

Paper provided by University of Peloponnese, Department of Economics in its series Working Papers with number 0032.

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Length: 13 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:uop:wpaper:0032

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Related research

Keywords: Greece; Decision Support; Options Trading; Forecasting; Regression; Directional Accuracy.;

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