Optimal portfolio management.

• Main Authors: Lim, Xue Jing., Ng, Jie Wen., Peh, Ying Jie.
• Other Authors: Leon Chuen Hwa
• Format: Final Year Project
• Language: English
• Published: 2010
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/35554
• Institution: Nanyang Technological University

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.