Bootstrap Simulations for Finance Portfolio
7 Pages Posted: 16 Dec 2009
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: Suggested Citation