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Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results

Author

Listed:
  • George Xanthos
  • Dikaios Tserkezos

    (Department of Economics, University of Crete, Greece)

Abstract

No abstract is available for this item.

Suggested Citation

  • George Xanthos & Dikaios Tserkezos, 2006. "Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds Through Optimisation Techniques: Some Empirical and Monte Carlo Results," Working Papers 0812, University of Crete, Department of Economics.
    • Handle: RePEc:crt:wpaper:0812
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    File URL: http://economics.soc.uoc.gr/wpa/docs/0812.pdf
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    More about this item

    Keywords

    Portfolio Optimization; Stocks; Temporal Aggregation; Stochastic Simulation; The Banking Sector of the Athens Stocks Exchange;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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