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An examination of portfolio performance under different markets

Başlık çevirisi mevcut değil.

  1. Tez No: 770581
  2. Yazar: MUSTAFA AYYILDIZ
  3. Danışmanlar: Belirtilmemiş.
  4. Tez Türü: Yüksek Lisans
  5. Konular: Maliye, Finance
  6. Anahtar Kelimeler: Belirtilmemiş.
  7. Yıl: 2019
  8. Dil: İngilizce
  9. Üniversite: The University of Nottingham
  10. Enstitü: Yurtdışı Enstitü
  11. Ana Bilim Dalı: Belirtilmemiş.
  12. Bilim Dalı: Belirtilmemiş.
  13. Sayfa Sayısı: 120

Özet

The purpose of this paper is to examine the outcome of the same type of portfolio construction strategies together with the performance measures on a developed market country and an emerging market country and thus to find the best performing portfolio construction strategy. The US represents the developed country while Turkey is considered as the emerging market country. In this sense, 27 stocks are selected randomly from both the countries' major stock market index (NASDAQ and BIST100). The main reason of the random stock selection policy is to interprete the results without any presumption as much as possible. The portfolios are constructed with respect to the naive (1/N) diversification strategy, meanvariance portfolio optimization and the shrinkage estimator while the historical price data extends from 24 May 2010 and 31 May 2019. The portfolio performance measures (Jensen, Treynor and the Sharpe ratio) is computed under each strategy for both the country portfolios. Within the context of the comparisons, the portfolio under shrinkage majorly dominates the other strategies in terms of the portfolio return. In this sense, the paper has conluded that the shrinkage estimator is the best portfolio constructor in this case and there is no significant difference in holding a large number of stocks from a certain stock market index in the long-run. The first section describes the performances measures and the portfolio construction strategies. The second section scopes the academic works and the third section explains the methods followed. The fourth section interpretes the result and the final section draws a conclusion.

Özet (Çeviri)

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