A Regression-Based Methodology For Efficiently Building Futures’ Portfolios
AbstractNowadays 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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Bibliographic InfoPaper provided by University of Peloponnese, Department of Economics in its series Working Papers with number 0032.
Length: 13 pages
Date of creation: 2009
Date of revision:
Greece; Decision Support; Options Trading; Forecasting; Regression; Directional Accuracy.;
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