Optimal portfolio management in Singapore and Malaysia from 1994-1996
52 p.
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2014
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| Online Access: | http://hdl.handle.net/10356/57905 |
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sg-ntu-dr.10356-579052023-05-19T05:45:01Z Optimal portfolio management in Singapore and Malaysia from 1994-1996 Pee Chin Min, Tan Su Lin, Wong Chi Wai Cornelis A. Los Nanyang Business School DRNTU::Business::Finance::Portfolio management 52 p. This paper demonstrates the feasibility of quantitative optimal portfolio management based on the concepts of Nobel prize winner Harry Markowitz, in both the Singapore and Kuala Lumpur stock markets. After initial stock selection of 25 stocks from the Singapore Stock Market (SES) and 20 from Kuala Lumpur Stock Exchange (KLSE), we obtained weekly closing prices of these stocks for the three years 1994 through 1996. The first two moments of the rates of returns of these stocks were used to trace the Markowitz efficiency frontier for multiple asset portfolios. Finally optimal portfolios were determined by the tangential intersection of the Capital Allocation Line (CAL) and the efficiency frontier. Next we use the optimal portfolios to investigate how to readjust these optimal portfolios when the efficiency frontiers move from year to year and to find the required frequency for re-balancing. We find that the amount of risk in both the Singapore and Kuala Lumpur stock markets have decreased in the past years, most likely due to increased efficiency of trading and greater capitalization. Both these phenomena lead to greater market liquidity. Although this paper uses an ex post approach, its quantitative approach is easily extended to an ex ante approach by including either quarterly stock prices forecasts or by using a Kalman Filter. BUSINESS 2014-04-07T11:06:41Z 2014-04-07T11:06:41Z 1997 1997 Final Year Project (FYP) http://hdl.handle.net/10356/57905 Nanyang Technological University application/pdf |
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Asia |
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DRNTU::Business::Finance::Portfolio management |
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DRNTU::Business::Finance::Portfolio management Pee Chin Min, Tan Su Lin, Wong Chi Wai Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| description |
52 p. |
| author2 |
Cornelis A. Los |
| author_facet |
Cornelis A. Los Pee Chin Min, Tan Su Lin, Wong Chi Wai |
| format |
Final Year Project |
| author |
Pee Chin Min, Tan Su Lin, Wong Chi Wai |
| author_sort |
Pee Chin Min, Tan Su Lin, Wong Chi Wai |
| title |
Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| title_short |
Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| title_full |
Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| title_fullStr |
Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| title_full_unstemmed |
Optimal portfolio management in Singapore and Malaysia from 1994-1996 |
| title_sort |
optimal portfolio management in singapore and malaysia from 1994-1996 |
| publishDate |
2014 |
| url |
http://hdl.handle.net/10356/57905 |
| _version_ |
1770564005635555328 |