出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The authors propose a procedure for a mean-variance Markovitz type portfolio selection based on estimates of average returns on shares and volatility of share prices.In other words,the authors address the problem of estimating average returns and the associated risk on the basis of the prices of a certain number of shares over time.The estimate is then used to identify the assets offering the best performance and hence constituting the best investments.The use of VAR (1)models is common practice in the literature;here instead we suggest the CVAR models,which take into account cointegration between the series employed and the market trend as measured by means of the Equity Italy Index.The use of BEKK is then applied to the residuals obtained before in a multiple bi-dimensional way so that the computational is made feasible while retaining a complex structure representation.The model put forward is applied to a series of data regarding the prices of 150 best capitalized shares traded on the Italian stock market(BIT)between 1 January 1975 and 31 August 2011;it takes into account the intrinsic value of the stocks to select the best performing ones.Eventually the authors find the efficient portfolio by minimizing the risk.The proposed methodology allows for the inclusion of more information and has very appealing strengths when compared to established models.
