Mean variance analysis for the Malaysian equity securities


Wong, Xuan W. and Sayed, Hossain and Nguyen Thhi, Phuong Lan (2009) Mean variance analysis for the Malaysian equity securities. Journal of International Business and Economics, 9 (3). pp. 138-145. ISSN 1544-8037

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This study attempts to construct optimal portfolios by employing traditional method - Quadratic Programming Model (QPM) introduced by Markowitz (1952). We then construct efficient frontier for all the optimal portfolios. Using ISI Emerging Market database, we collect daily returns from one thousand stocks listed in Kuala Lumpur Stock Exchange (KLSE) during the period of January 2005 to February 2009. We focus on stocks with more-than-zero average monthly returns and have at least 36 monthly data. Our seven constructed optimal portfolios give choices to different risk-averse investors on their investment decisions on the KLSE stocks. Our tests for in-sample and out-sample periods confirm the robustness of our constructed portfolios.

Item Type: Article
Subjects: H Social Sciences > H1-99 Social Sciences (General)
Divisions: Faculty of Management (FOM)
Depositing User: Ms Rosnani Abd Wahab
Date Deposited: 05 Feb 2014 04:43
Last Modified: 05 Feb 2014 04:43


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