In this thesis, we have built an optimal portfolio using five assets from the Japanese market. We have investigated the use of GARCH(1,1) when forecasting the volatility of our optimal portfolio. Different time periods have been considered for optimizing our results. An equally-weighted portfolio has been used as a benchmark. Our results show that the optimal portfolio we constructed is more efficient than the equally-weighted portfolio in all chosen situations.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-58605 |
| Date | January 2022 |
| Creators | Marmaras, Tilemachos, Alkar, Eili |
| Publisher | Mälardalens universitet, Akademin för utbildning, kultur och kommunikation |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
Page generated in 0.0015 seconds