Portfolio Construction Using KPCA and SVM: Application to Casablanca Stock Exchange

2019 ◽  
pp. 885-895
Author(s):  
Anass Nahil ◽  
Lyhyaoui Abdelouahid
Keyword(s):  
Stock Exchange ◽  
Portfolio Construction

scholarly journals Efficient Stock Portfolio Construction by Means of Clustering

2018 ◽  
Vol 1 (333) ◽  
Author(s):  
Jerzy Korzeniewski
Keyword(s):  
Stock Exchange ◽  
Investment Decisions ◽  
Portfolio Construction ◽  
Homogeneous Groups ◽  
Novel Technique ◽  
Partitioning Around Medoids ◽  
Warsaw Stock Exchange ◽  
Stock Portfolio ◽  
Stock Market Investment ◽  
Good Number

When investors start to use statistical methods to optimise their stock market investment decisions, one of fundamental problems is constructing a well‑diversified portfolio consisting of a moderate number of positions. Among a multitude of methods applied to the task, there is a group based on dividing all companies into a couple of homogeneous groups followed by picking out a representative from each group to create the final portfolio. The division stage does not have to coincide with the sector affiliation of companies. When the division is performed by means of clustering of companies, a vital part of the process is to establish a good number of clusters. The aim of this article is to present a novel technique of portfolio construction based on establishing a numer of portfolio positions as well as choosing cluster representatives. The grouping methods used in the clustering process are the classical k‑means and the PAM (Partitioning Around Medoids) algorithm. The technique is tested on data concerning the 85 biggest companies from the Warsaw Stock Exchange for the years 2011–2016. The results are satisfactory with respect to the overall possibility of creating a clustering‑based algorithm requiring almost no intervention on the part of the investor.

Fundamental Portfolio Construction Based on Semi-Variance

2013 ◽  
Vol 8 (2) ◽  
pp. 151-162 ◽  
Author(s):  
Anna Rutkowska-Ziarko
Keyword(s):  
Stock Exchange ◽  
Risk Measure ◽  
Equal Treatment ◽  
Rate Of Return ◽  
Portfolio Construction ◽  
Financial Situation ◽  
Markowitz Model ◽  
Synthetic Indicator ◽  
Warsaw Stock Exchange

In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the fundamental portfolio with minimum semi-variance is not possible with the existing methods.The aim of the article is to propose and verify a method which allows to find a fundamental portfolio with the minimum semi-variance. A synthetic indicator is constructed for each company, describing its economic and financial situation. The method of constructing fundamental portfolios using semi-variance as the risk measure is presented. The differences between the semi-variance fundamental portfolios and variance fundamental portfolios are analysed on example of companies listed on the Warsaw Stock Exchange. 

scholarly journals On international fund construction in South Africa

1997 ◽  
Vol 28 (3) ◽  
pp. 88-96
Author(s):  
D. J. Bradfield ◽  
C. S. Ardington
Keyword(s):  
South Africa ◽  
Stock Exchange ◽  
Foreign Market ◽  
International Markets ◽  
Market Risk ◽  
Market Model ◽  
Portfolio Construction ◽  
Johannesburg Stock Exchange ◽  
International Fund ◽  
The One

This article focusses on portfolio construction in markets where legislation restricts investors from investing in international markets. An extended market model is implemented to additionally estimate a component of foreign market risk. In the first part of the article the decomposition of the risk of securities on the Johannesburg Stock Exchange (JSE) is empirically demonstrated. In the second part an automated portfolio construction methodology based on the resulting foreign risk estimates of the model is empirically tested on the JSE. The results confirm there is potential for improving the performance of existing 'international' funds on the JSE using more rigorous quantitative approaches such as the one proposed here.

scholarly journals The Errors-in-Variable Model in the Optimal Portfolio Construction

2007 ◽  
Vol 1 (2) ◽  
pp. 49-57 ◽  
Author(s):  
Anna Czapkiewicz ◽  
Małgorzata Machowska
Keyword(s):  
Linear Relationship ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Archival Data ◽  
Conventional Theory ◽  
Variable Model ◽  
Market Portfolio ◽  
Warsaw Stock Exchange ◽  
Portfolio Return

In the paper we consider a modification of Sharpe’s method used in classical portfolio analysis for optimal portfolio building. The conventional theory assumes there is a linear relationship between asset’s return and market portfolio return, while the influence of all the other factors is not included. We propose not to neglect them any more, but include them into a model. Since the factors in question are often hard to measure or even characterize, we treat them as a disturbances on random variables used by classical Sharpe’s method.The key idea of the paper is the modification of the classical approach by application of the errors-in-variable model. We assume that both independent (market portfolio return) as well as dependent (given asset’s return) variables are randomly distributed values related with each other by linear relationship and we build the model used for parameters’ estimation.To verify the model, we performed an analysis based on archival data from Warsaw Stock Exchange. The results are also included.

scholarly journals An Empirical Assessment of Alternative Methods of Variance-Covariance Matrix

2020 ◽  
Vol 9 (4) ◽  
pp. 390-401
Author(s):  
AHSEN SAGHIR ◽  
SYED MUHAMMAD ALI TIRMIZI
Keyword(s):  
Stock Exchange ◽  
Risk Behaviour ◽  
Minimum Variance ◽  
Additional Benefit ◽  
Alternative Methods ◽  
Portfolio Construction ◽  
Mean Square ◽  
Data Set ◽  
Portfolio Managers ◽  
Mean Variance

The current study aims at the estimation of a group of variance-covariance methods using the data set of the non-financial sector of the Pakistan stock exchange. The study compares nine covariance estimators using two assessment criteria of root mean square error and standard deviation of minimum variance portfolios to gauge on accuracy and effectiveness of estimators. The findings of the study based on RMSE and risk behaviour of MVPs suggest that portfolio managers receive no additional benefit for using more sophisticated measures against equally weighted variance-covariance estimators in the construction of portfolios. Keywords: Variance-Covariance Estimators, Portfolio Construction, Mean-Variance Optimization.

scholarly journals Optimal Portfolio Construction: Application of Sharpe's Single-Index Model on Dhaka Stock Exchange

2019 ◽  
Vol 16 (1) ◽  
pp. 60
Author(s):  
Imroz Mahmud
Keyword(s):  
Stock Exchange ◽  
Sampling Technique ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Efficient Manner ◽  
Great Opportunity ◽  
Single Index ◽  
Index Model ◽  
Single Index Model ◽  
Industrial Sectors

This study aims to find whether Sharpe's single-index model of portfolio construction offers better investment alternatives to the investors of the Dhaka Stock Exchange (DSE). For this purpose, month-ended closing price data of 178 companies listed on the DSE, the prime bourse of Bangladesh, and the month-ended index value of DSEX have been used for the period starting from January 2013 to February 2018. The stocks selected for this study belong to 16 industrial sectors, and purposive sampling technique has been used to select these sectors. Sharpe's model formulates a unique cut-off rate and selects the stocks having an excess return-to-beta ratio above that rate. In this study, 54 stocks qualified to be a part of the optimal portfolio. Hence, the proportion of investment to be made on each of the stock is calculated according to the model. The study reveals that three industries occupy a hefty chunk (65.78%) of the proposed investment portfolio. The constructed portfolio offers a monthly return of 2.1489% and carries 1.9516% risk as measured by standard deviation. The beta of the optimal portfolio is only 0.124003. The constructed portfolio outperforms every individual stock as well as the market index in terms of offering the optimal risk-return combinations. Therefore, this five-and-a-half-decade-old model offers a great opportunity for Bangladeshi investors to optimize return and diversify risk in an efficient manner.

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