Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange
This paper presents a way of constructing several efficient portfolios at the Bucharest Stock Exchange, as well as a risk analysis of the respective portfolios. Therefore, the study is divided into two parts. The first part deals with the construction of optimal portfolios by using the cut-off technique. The new constructed portfolios are supposed to offer more returns than several other financial assets from the Romanian markets. The second part will include an estimation of the risk of the constructed portfolios. In the latter section of this part, we will forecast the conditional variance of the portfolios.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): (2003)
Issue (Month): 3 (September)
|Contact details of provider:|| Postal: |
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2003:i:3:p:49-71. 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: (Corina Saman)
If references are entirely missing, you can add them using this form.