Bootstrap Simulations for Finance Portfolio

7 Pages Posted: 16 Dec 2009

See all articles by Eleftherios Giovanis

Eleftherios Giovanis

Izmir Bakircay University Department of International Trade and Business; Economic Research Forum (ERF)

Date Written: December, 13 2009

Abstract

In this paper we present Markowitz finance portfolio theory and efficient frontier with no bootstrap simulation , with single ordinary bootstrap and finally with double bootstrap simulation and we conclude that there are significant differences between those estimations. We prefer bootstrap simulation and especially double bootstrap as with this procedure we have the ability to reduce the number of the assets in our portfolio and to choose the most profitable of them. We apply the above methodologies in ten stocks of Athens Stock Exchange Market

Keywords: Keywords: Markowitz portfolio theory, bootstrap simulation, stocks, efficient frontier

JEL Classification: G11

Suggested Citation

Giovanis, Eleftherios, Bootstrap Simulations for Finance Portfolio (December, 13 2009). Available at SSRN: https://ssrn.com/abstract=1522914 or http://dx.doi.org/10.2139/ssrn.1522914

Eleftherios Giovanis (Contact Author)

Izmir Bakircay University Department of International Trade and Business ( email )

Gazi Mustafa Kemal Mahallesi
Kaynak Caddesi Seyrek Menemen
Izmir, 35660
Turkey

Economic Research Forum (ERF) ( email )

21 Al-Sad Al-Aaly St.
(P.O. Box: 12311)
Dokki, Cairo
Egypt

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
224
Abstract Views
1,291
Rank
247,366
PlumX Metrics