| Autor: |
Pang Sook Theng, Liew How Hui |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
|
| Zdroj: |
ITM Web of Conferences, Vol 36, p 02002 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2271-2097 |
| DOI: |
10.1051/itmconf/20213602002 |
| Popis: |
In this research, four proposed finite order universal portfolios were used to study Malaysia’s stock market comprehensively and the constant rebalanced portfolio (CRP) was used as a benchmark for comparison. The empirical performance of the four universal portfolio strategies was analysed experimentally concerning 95 stocks from different categories in Kuala Lumpur Stock Exchange (KLSE) from 1 January 2000 to 31 December 2015. Combinations of three stocks data from the selected 95 stocks are used for study for short-term (1-year duration), middle-term (4-years and 8-years durations) and long-term (12-years and 16-years durations). The empirical results showed that the performances of the proposed universal strategies are outperform CRP in 1 year and 4 years durations, but did poorly in 8-years, 12-years and 16-years durations. Therefore, these four UP strategies are empirically considered to be good investment strategies in the short-term. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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