NDLI: Optimal portfolio: “Empirical investigation of food industry listed in KLSE”

Content Provider	IEEE Xplore Digital Library
Author	Shahruddin, S.N.S.S.M. Tafri, F.H.B. Lazam, N.M.
Copyright Year	2012
Description	Author affiliation: Center for Actuarial Studies, Faculty of Computer and Mathematical Science, Universiti Teknologi MARA (UiTM), Selangor, Malaysia (Shahruddin, S.N.S.S.M.; Tafri, F.H.B.; Lazam, N.M.)
Abstract	In earlier studies on optimum combination of stock focused mainly on stocks that only give high impact to the stock market. In contrast to previous studies, this research investigated on optimum combination of stock on food industry listed in Kuala Lumpur Stock Exchange (KLSE) which gives positive return during the challenging period. Hence how reliable is investing in the optimal portfolio of food industry and to compare the optimal combination of food industry. The data are obtained from Bloomberg of daily closing price of food industry listed in KLSE for the period within seven years starting from January 2002 to December 2008. In order to accommodate for the dynamic structure of the volatility in the market, a Generalized Autoregressive Conditionally Heteroscedastic (GARCH) model was applied to the Markowitz Portfolio Selection model to generate the covariance and correlation matrix. The result shows that about 14 of the food securities or 19 percent fall under the optimum portfolio out of 71 securities between years 2002 to 2006 and can be conclude that the optimum portfolio in food industry generate a positive return during the year 2002 to 2006 even though market show negative return.
Starting Page	1
Ending Page	6
File Size	294862
Page Count	6
File Format	PDF
ISBN	9781467315814
e-ISBN	9781467315821
DOI	10.1109/ICSSBE.2012.6396574
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-09-10
Publisher Place	Malaysia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Food Industry Food industry Covariance matrix Security Indexes Stock markets Portfolios Optimum Portfolio
Content Type	Text
Resource Type	Article

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