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DC Field | Value | Language |
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dc.date.accessioned | 2015-07-13T07:39:19Z | - |
dc.date.available | 2015-07-13T07:39:19Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | https://www.um.edu.mt/library/oar//handle/123456789/4004 | - |
dc.description | B.COM.(HONS)BANK.&FIN. | en_GB |
dc.description.abstract | Modern Portfolio Theory has been the most widely accepted theory of portfolio optimisation, yet the shortcomings in the actual application of the theory to financial markets are considerable. This study analyses the tradtional method of portfolio optimisation and the asset allocation it produces. By applying this method to the US stock market, this reseach evaluates whether the traditional method delivers the expected results. In addition, this dissertation proposes an alternative method of portfolio optimisation, one which uses forward-looking inputs in an attempt to produce an asset allocation that is more suitable for the market structure expected in the next period. Finally, this study compares the ability of the two methods in producing a portfolio beta that better predicts the actual portfolio beta during a five-year forecast period. The asset allocation produced by both methods is also put to the test by analysing the performance of the optimal portfolios suggested by the two methods. | en_GB |
dc.language.iso | en | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Portfolio management | en_GB |
dc.title | Modern portfolio theory : a quantitative approach to traditional theory and a proposed variant | en_GB |
dc.type | bachelorThesis | en_GB |
dc.rights.holder | The copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder. | en_GB |
dc.publisher.institution | University of Malta | en_GB |
dc.publisher.department | Faculty of Economics, Management and Accountancy. Department of Accountancy | en_GB |
dc.description.reviewed | N/A | en_GB |
dc.contributor.creator | Busuttil, Matthias | - |
Appears in Collections: | Dissertations - FacEma - 2011 Dissertations - FacEMABF - 2011 |
Files in This Item:
File | Description | Size | Format | |
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11BCOM035.pdf Restricted Access | 2.04 MB | Adobe PDF | View/Open Request a copy |
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