Χαρτοφυλάκιο μετοχών ελάχιστου κινδύνου του δείκτη FTSE/ΧΑΑ20 (Για τα έτη 1997-1998)
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XII, No.1-2, 2001, pages 147-156
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Pages:
147-156
Parallel Title:
A least risk Portfolio of shares of the Index FTSE/XAA20 (For the years 1997-1998)
Abstract:
In this paper we apply an optimal portfolio selection technique in the Athens Stock Exchange for the period 1997-1998. We use the Safety First ≪Roy criterion≫ for the 20 stocks of FTSE/ASE 20. According to the Roy criterion the portfolio is optimal when it maximises the probability to have return greater than the risk free rate. The ≪cut-off-rate≫ technique indicates that optimal portfolio consists of 6 stocks and we estimate their weights.
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