PERFORMANCE TEST OF MODERN PORTFOLIO THEORY ACROSS DIFFERENT MARKETS
This study aims to test the practical applicability of the Modern Portfolio Theory (MPT) by doing backtesting using 20 years of historical data (2004-2023). The optimum portfolio derived from mean-variance analysis is compared with other weighting methods: equal weights, market-cap weighted, and ran...
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| Main Author: | |
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/87784 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |