English, Article, Journal or magazine article edition: Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results Dikaios Tserkezos; George Xanthos

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Bookmark: http://trove.nla.gov.au/version/77166
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results
Author
  • Dikaios Tserkezos
  • George Xanthos
Physical Description
  • preprint
Notes
  • In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated data effects very seriously the efficiency of the constructed portfolio. Especially as the degree of temporal aggregation increases the application of optimization techniques could lead to different results regarding the percentage of stocks participation, the weights and finally the total portfolio performance.
  • Portfolio Optimization, Stocks; Temporal Aggregation; Stochastic Simulation, The Banking Sector of the Athens Stocks Exchange
  • RePEc:crt:wpaper:0812
Language
  • English
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