Optimal portfolio management.
This paper investigates the dual effect of stock selection and asset allocation method on optimizing equity portfolio performance, defined by risk-adjusted return. Portfolios are formed based on the four indicators, highest dividend yield, lowest price-earnings ratio, lowest price-to-book ratio and...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/35554 |
| _version_ | 1824456703171624960 |
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| author | Lim, Xue Jing. Ng, Jie Wen. Peh, Ying Jie. |
| author2 | Leon Chuen Hwa |
| author_facet | Leon Chuen Hwa Lim, Xue Jing. Ng, Jie Wen. Peh, Ying Jie. |
| author_sort | Lim, Xue Jing. |
| collection | NTU |
| description | This paper investigates the dual effect of stock selection and asset allocation method on optimizing equity portfolio performance, defined by risk-adjusted return. Portfolios are formed based on the four indicators, highest dividend yield, lowest price-earnings ratio, lowest price-to-book ratio and top loser stocks, and assets are then assigned weights using three different allocation approaches, equal-weight, value-weight and Markowitz optimization model that maximizes Sharpe ratio. We conclude that the 2 combinations: value-weighted lowest PE portfolio and value-weighted lowest PTB portfolio, generates best risk-adjusted returns, as measured by Sharpe ratio. However, these results are sensitive to changes in the sample used, investment horizon, short-sales constraints. |
| first_indexed | 2025-02-19T03:58:19Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/35554 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T03:58:19Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/355542023-05-19T06:16:18Z Optimal portfolio management. Lim, Xue Jing. Ng, Jie Wen. Peh, Ying Jie. Leon Chuen Hwa Nanyang Business School DRNTU::Business::Finance::Portfolio management This paper investigates the dual effect of stock selection and asset allocation method on optimizing equity portfolio performance, defined by risk-adjusted return. Portfolios are formed based on the four indicators, highest dividend yield, lowest price-earnings ratio, lowest price-to-book ratio and top loser stocks, and assets are then assigned weights using three different allocation approaches, equal-weight, value-weight and Markowitz optimization model that maximizes Sharpe ratio. We conclude that the 2 combinations: value-weighted lowest PE portfolio and value-weighted lowest PTB portfolio, generates best risk-adjusted returns, as measured by Sharpe ratio. However, these results are sensitive to changes in the sample used, investment horizon, short-sales constraints. BUSINESS 2010-04-20T09:11:02Z 2010-04-20T09:11:02Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/35554 en Nanyang Technological University 49 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Portfolio management Lim, Xue Jing. Ng, Jie Wen. Peh, Ying Jie. Optimal portfolio management. |
| title | Optimal portfolio management. |
| title_full | Optimal portfolio management. |
| title_fullStr | Optimal portfolio management. |
| title_full_unstemmed | Optimal portfolio management. |
| title_short | Optimal portfolio management. |
| title_sort | optimal portfolio management |
| topic | DRNTU::Business::Finance::Portfolio management |
| url | http://hdl.handle.net/10356/35554 |
| work_keys_str_mv | AT limxuejing optimalportfoliomanagement AT ngjiewen optimalportfoliomanagement AT pehyingjie optimalportfoliomanagement |