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High-Dividend Portfolios with Filters on the Financial Performance and an Optimization of Assets Weights in a Portfolio

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Listed:
  • Ekaterina Dubova
  • Sergey Volodin
  • Irina Borenko

Abstract

This paper is dedicated to the investigation of the strategies related to the high-dividend portfolio investment. The aim of this research is to increase the high-dividend portfolio efficiency by adding some filters and optimization weights of the assets in the portfolio. In order to achieve this goal, the authors complement the classical version of the «Dogs of the Dow» strategy with financial indicators ROA and P/E with equal and optimized weights of the assets in each portfolio. Two additional parameters are also used in the process of testing: the number of stocks and the month of the annual portfolio rebalancing. Thus, the obtained models have high-quality advantages in comparison with the traditional concept of high-dividend investing, eliminating its inherent disadvantages and providing higher rates of return. JEL Codes - G11

Suggested Citation

  • Ekaterina Dubova & Sergey Volodin & Irina Borenko, 2018. "High-Dividend Portfolios with Filters on the Financial Performance and an Optimization of Assets Weights in a Portfolio," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 65(3), pages 347-363, September.
    • Handle: RePEc:aic:saebjn:v:65:y:2018:i:3:p:347-363:n:109
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    References listed on IDEAS

    as
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    3. Гальперин Михаил Анатольевич & Теплова Тамара Викторовна, 2012. "Инвестиционные Стратегии На Дивидендных Акциях Российского Фондового Рынка: «Собаки Доу» И Портфели С Фильтрами По Фундаментальным Показателям," Higher School of Economics Economic Journal Экономический журнал Высшей школы экономики, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», vol. 16(2), pages 205-242.
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    More about this item

    Keywords

    high-dividend models; «Dogs of the Dow»; portfolio investment;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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