Multivariate statistical analysis for portfolio selection of italian stock market
The use of bivariate cointegrated vector autoregressive models and Baba-Engle-Kraft-Kroner models ( Engle et al. 1995), is proposed for the selection of a stock portfolio (Markowitz type portfolio) based on estimates of average returns on shares and the volatility of share prices. The model put forward envisages the use of explicative variables. This article employs the intrinsic value of shares as a variable, which will make it possible to take the theory of value into account. The model put forward is applied to a series of data regarding the prices of 150 shares traded on the Italian stock market.
|Date of creation:||Oct 2012|
|Contact details of provider:|| Postal: Via Silvio d'Amico 77, - 00145 Rome Italy|
Phone: +39 06 57114612
Fax: +39 06 57114771
Web page: http://host.uniroma3.it/dipartimenti/economia/it/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rtr:wpaper:0166. 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: (Telephone for information)
If references are entirely missing, you can add them using this form.