| Title |
Development, implementation and evaluation of multistage investment strategies / |
| Translation of Title |
Daugiapakopių investavimo strategijų kūrimas, įgyvendinimas ir vertinimas. |
| Authors |
Valakevicius, Eimutis ; Vaznelyte, Kristina |
| DOI |
10.5755/j01.ee.23.2.1542 |
| Full Text |
|
| Is Part of |
Inžinerinė ekonomika = Engineering economics.. Kaunas : KTU. 2012, vol. 23, iss. 2, p. 144-153.. ISSN 1392-2785. eISSN 2029-5839 |
| Keywords [eng] |
stocks ; asset selection ; Markowitz model ; asset allocation ; asset pricing ; sharpe ratio ; utility function ; rate of return |
| Abstract [eng] |
Construction of optimal investment portfolio is very complicated task due to many diverse factors which might affect risk and return of the portfolio in the future. Values and impact level of unique factors on the portfolio are changing over time; therefore every investor should take into account the fact that there always will be a certain level of risk associated with any portfolio involving stocks. There is a number of ways to form a collection of most appropriate stocks and bonds for investment portfolio as well as to allocate weights of assets based on various criteria. All of these methods, dedicated for selection and allocation of assets, have their specific features and some disadvantages. In order to be able to conclude which of the asset selection methods have least disadvantages, four popular techniques were analysed and compared. These techniques were based on different variables: correlation coefficients between asset returns, maximisation of the utility function (diverse values of risk aversion coefficients were analysed), selection of assets with highest historical returns, and employment of modified price-to-earnings ratio. [...]. |
| Published |
Kaunas : KTU |
| Type |
Journal article |
| Language |
English |
| Publication date |
2012 |
| CC license |
|
