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A Regression-Based Methodology For Efficiently Building Futures’ Portfolios

Author

Listed:
  • Konstantinos Maris
  • Dimitra Koutsothymiou
  • Fotios Petropoulos
  • Eleni Petra
  • Panagiotis Evangelopoulos
  • Vassilios Assimakopoulos
  • Konstantinos Nikolopoulos

Abstract

Nowadays 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.

Suggested Citation

  • Konstantinos Maris & Dimitra Koutsothymiou & Fotios Petropoulos & Eleni Petra & Panagiotis Evangelopoulos & Vassilios Assimakopoulos & Konstantinos Nikolopoulos, 2009. "A Regression-Based Methodology For Efficiently Building Futures’ Portfolios," Working Papers 0032, University of Peloponnese, Department of Economics.
  • Handle: RePEc:uop:wpaper:0032
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    Keywords

    Greece; Decision Support; Options Trading; Forecasting; Regression; Directional Accuracy.;

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