The dynamic portfolio optimization and multifactor model in a stochastic market
Date of Publication
4-8-2016
Document Type
Project Paper
Subject Categories
Business
College
Ramon V. Del Rosario College of Business
Department/Unit
Financial Management
Thesis Adviser
Rene B. Betita
Abstract/Summary
There is a countless amount of research that looks into the various global recessions and their impacts made on various domestic and global financial markets. This research work tried to look deeper on the portfolio construction made by investors in different stochastic markets from 2004 to 2014. The objective of the study is anchored on the statement of the problem which is to determine how listed companies optimize their portfolio using the principles in Dynamic Portfolio Optimization and Multifactor Model and determine further the relationship between a Dynamic Portfolio Optimization and a Multifactor Model in a stochastic market. This paper randomized thirty (30) from a total of fifty (fifty) companies in the industrial sector that are publicly listed in the Philippine Stock Exchange (PSE) and are considered significant firms which shares are actively traded and considered representatives in different sectors in the index. The researcher used interest rates, inflation rates, foreign exchange rates, and time factor in months from 2004-2014 to run both the Multifactor Model and Dynamic Optimization Model in the form of GARCH modeling to understand how the listed companies optimize their stocks. The two (2) models were then tested for correlation for each of the used randomized sample to see if a significant relationship exist between the models that were generated.
Abstract Format
html
Language
English
Format
Electronic
Accession Number
CDTG006887
Shelf Location
Archives, The Learning Common's, 12F Henry Sy Sr. Hall
Physical Description
1 computer optical disc; 4 3/4 in.
Keywords
Portfolio management; Investments
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Recommended Citation
Shumova, T. (2016). The dynamic portfolio optimization and multifactor model in a stochastic market. Retrieved from https://animorepository.dlsu.edu.ph/etd_masteral/7287
Embargo Period
10-17-2024
