This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. The study showed that the naive allocation model outperformed the mean-variance model both economically as well as statistically. No indication where obtained for a lagged return effect when letting a mean-variance model choose weights for a quarterly holding period and the resulting investment recommendation is to follow a naive investment strategy within a momentum framework.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-24848 |
| Date | January 2014 |
| Creators | Jonsson, Robin, Radeschnig, Jessica |
| Publisher | Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, Mälardalens högskola, 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 |
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