This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. We studied the effect of the parameters, Skewness and Kurtosis for different time series data. We tried to figure it out which data series is better to construct a portfolio and how these extra parameters can make us better informed in our investments.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-333 |
| Date | January 2007 |
| Creators | Bjärnbo, Oliver, Kheirollah, Amir |
| Publisher | Mälardalens högskola, Institutionen för matematik och fysik, Mälardalens högskola, Institutionen för matematik och fysik, Västerås : Mälardalens högskola |
| 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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