Agarwal Developments in Mean-Variance Efficient Portfolio Selection

1. Auflage 2015
ISBN: 978-1-137-35992-6
Verlag: Palgrave Macmillan UK
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 259 Seiten

This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.

Autoren/Hrsg.

Agarwal, M.

Inhaltsverzeichnis

1;Cover;1
2;Half-Title;2
3;Title;4
4;Copyright;5
5;Conetnts;6
6;List of Figures;10
7;List of Tables;11
8;Foreword;13
9;Preface;15
10;Acknowledgements;17
11;1 Introduction;19
11.1;1.1 Introduction;19
11.2;1.2 Review of trends in the Indian economy and Indian capital markets;24
11.3;1.3 Research gaps;26
11.4;1.4 Raison d’être of the book;27
11.5;1.5 Problem statement;29
11.6;1.6 Research objectives;30
11.7;1.7 Research hypotheses;31
11.8;1.8 Research methodology;32
11.9;1.9 Sources of data;34
11.10;1.10 Chapter plan;35
11.11;1.11 Limitations of the study;37
12;2 Advances in Theories and Empirical Studies on Portfolio Management;38
12.1;2.1 Literature on mean-variance efficient portfolio;40
12.2;2.2 Literature on asset pricing theories;45
12.3;2.3 Literature on diversification of portfolios;51
12.4;2.4 Literature on portfolio optimisation and variance-covariance matrix;54
12.5;2.5 Literature on the impact of behavioural and systemic factors on an investor’s portfolio choice;60
12.6;2.6 Literature on the lead-lag relationship between the stock and futures market;66
12.7;2.7 Summary and conclusions;71
13;3 Contributions to the Portfolio Theory;74
13.1;3.1 The standard mean-variance portfolio selection model;74
13.2;3.2 Advances in portfolio selection theories;75
13.3;3.3 Emerging issues and challenges in Indian equity markets;82
13.3.1;3.3.1 Risk management;83
13.3.2;3.3.2 Disclosures and accounting standards;83
13.3.3;3.3.3 Investor protection and education;84
13.3.4;3.3.4 Wireless trading and co-location;84
13.3.5;3.3.5 Algorithmic trading and high frequency trading;84
13.3.6;3.3.6 Smart order routing;85
13.3.7;3.3.7 Minimum public shareholding;86
14;4 Mean-Variance Efficient Portfolio Selection: Model Development;89
14.1;4.1 Multi-objective quadratic programming;90
14.2;4.2 Model building and application;91
14.2.1;4.2.1 The objective function;91
14.2.2;4.2.2 Calculation of risk/variance of portfolio;91
14.2.3;4.2.3 Evaluation criteria and constraint set;91
14.2.4;4.2.4 Modelling constraints for an investor;104
14.3;4.3 Multivariate regression: model formulation;107
14.3.1;4.3.1 Multiple regression model 1;107
14.3.2;4.3.2 Multiple regression model 2;108
14.4;4.4 Granger causality tests;109
14.5;4.5 A utility approach;109
14.6;4.6 Performance measures for portfolios;114
14.7;4.7 Tests for equality;115
14.7.1;4.7.1 Mean equality test;115
14.7.2;4.7.2 Variance equality tests;116
14.8;4.8 To sum up;116
15;5 Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation of India’s National Stock Exchange;119
15.1;5.1 Sample size and data collection;120
15.2;5.2 Software used;121
15.3;5.3 Mean-variance portfolio selection model: empirical testing;121
15.4;5.4 Descriptive statistics – returns;123
15.5;5.5 Data inputs;125
15.6;5.6 Model formulations;126
15.7;5.7 Mean-variance efficient portfolio selection model formulations: analysis and interpretations;130
15.7.1;5.7.1 Diversifier’s portfolio;130
15.7.2;5.7.2 Satisficer’s portfolio;135
15.7.3;5.7.3 Plunger’s portfolio;135
15.7.4;5.7.4 Market trend portfolio;138
15.7.5;5.7.5 Capital gain bias portfolio;142
15.7.6;5.7.6 Dividend gain bias portfolio;146
15.7.7;5.7.7 Equal priority portfolio;149
15.7.8;5.7.8 Ideal portfolio;152
15.7.9;5.7.9 Markowitz’s portfolio selection model;153
15.8;5.8 Comparison of alternate portfolio selection models;159
15.9;5.9 Markowitz’s efficient frontier and mean-variance efficient portfolios;163
15.10;5.10 Multivariate regression analysis: estimating equations;167
15.11;5.11 Granger causality analysis;179
15.12;5.12 Utility analysis;180
15.13;5.13 Performance evaluation of portfolios: ranking the model formulations;186
15.14;5.14 Hypotheses testing: tests for equality;187
15.15;5.15 To sum up;194
16;6 Mean-Variance Portfolio Analysis Using Accounting, Financial and Corporate Governance Variables-Application on London Stock Exchange’s FTSE 100;199
16.1;6.1 Securities and evaluation criteria;199
16.1.1;6.1.1 Data and software used;201
16.1.2;6.1.2 Modelling constraints for an investor;206
16.1.3;6.1.3 Alternative model formulations;208
16.2;6.2 Results and discussion;211
16.2.1;6.2.1 Formation of Pareto optimal portfolios;211
16.2.2;6.2.2 Portfolio performance evaluation;211
16.3;6.3 Out of the sample tests;219
17;7 Summary, Conclusions and Suggestions for Future Research;222
17.1;7.1 Model development;225
17.1.1;7.1.1 A general model;226
17.1.2;7.1.2 Alternate portfolio selection model formulations;227
17.1.3;7.1.3 Multiple regression analysis;230
17.1.4;7.1.4 Granger causality interpretations;231
17.1.5;7.1.5 Portfolio utility analysis;231
17.1.6;7.1.6 Performance evaluation of portfolios;232
17.1.7;7.1.7 Tests for equality: main findings;232
17.1.8;7.1.8 Out of the sample tests;233
17.2;7.2 Conclusions;234
17.3;7.3 Suggestions for future research;236
18;Annex;1
18.1;1 Programming for the multi-criteria portfolio selection Model;237
18.2;2 Programming for Markowitz’s portfolio selection model;242
19;Notes;244
20;References;247
21;Index;258