Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/35554
Title: Optimal portfolio management.
Authors: Lim, Xue Jing.
Ng, Jie Wen.
Peh, Ying Jie.
Keywords: DRNTU::Business::Finance::Portfolio management
Issue Date: 2010
Abstract: 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.
URI: http://hdl.handle.net/10356/35554
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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