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Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar

The main purpose of this paper is to construct an ideal portfolio by using one of the model which is Sharpe's single-index model. For this purpose the daily closing prices of 686 companies listed in Main Market in Bursa Malaysia and all share price index for the period of September 2009 to Se...

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Main Author: Sidi Omar, Sidi Syaffiee
Format: Monograph
Language:English
Published: Universiti Teknologi Mara Kampus Kota Bharu 2015
Subjects:
Construction industry
Investment, capital formation, speculation
Investment companies. Investment trusts. Mutual funds
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Online Access:http://ir.uitm.edu.my/id/eprint/38725/1/38725.pdf
http://ir.uitm.edu.my/id/eprint/38725/
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spelling my.uitm.ir.387252020-12-07T03:46:15Z http://ir.uitm.edu.my/id/eprint/38725/ Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar Sidi Omar, Sidi Syaffiee Construction industry Investment, capital formation, speculation Investment companies. Investment trusts. Mutual funds Stockbrokers. Security dealers. Investment advisers. Online stockbrokers The main purpose of this paper is to construct an ideal portfolio by using one of the model which is Sharpe's single-index model. For this purpose the daily closing prices of 686 companies listed in Main Market in Bursa Malaysia and all share price index for the period of September 2009 to September 2014 have been considered. The proposed method formulates a unique cut off point (Cut off rate of return), selects stocks having excess return to beta ratio surpassing this cut off point, and determines the percentage of investment in every of selected stocks. The optimum portfolio consists of 189 stocks selected out of 686stocks, giving the return of 0.26%. Universiti Teknologi Mara Kampus Kota Bharu 2015-01 Monograph NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/38725/1/38725.pdf Sidi Omar, Sidi Syaffiee (2015) Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar. Industrial / Practical Training Report. Universiti Teknologi Mara Kampus Kota Bharu, Kota Bharu. (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Construction industry
Investment, capital formation, speculation
Investment companies. Investment trusts. Mutual funds
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
spellingShingle Construction industry
Investment, capital formation, speculation
Investment companies. Investment trusts. Mutual funds
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Sidi Omar, Sidi Syaffiee
Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
description The main purpose of this paper is to construct an ideal portfolio by using one of the model which is Sharpe's single-index model. For this purpose the daily closing prices of 686 companies listed in Main Market in Bursa Malaysia and all share price index for the period of September 2009 to September 2014 have been considered. The proposed method formulates a unique cut off point (Cut off rate of return), selects stocks having excess return to beta ratio surpassing this cut off point, and determines the percentage of investment in every of selected stocks. The optimum portfolio consists of 189 stocks selected out of 686stocks, giving the return of 0.26%.
format Monograph
author Sidi Omar, Sidi Syaffiee
author_facet Sidi Omar, Sidi Syaffiee
author_sort Sidi Omar, Sidi Syaffiee
title Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
title_short Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
title_full Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
title_fullStr Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
title_full_unstemmed Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar
title_sort ideal portfolio construction by using single index model based on bursa malaysia data / sidi syaffiee sidi omar
publisher Universiti Teknologi Mara Kampus Kota Bharu
publishDate 2015
url http://ir.uitm.edu.my/id/eprint/38725/1/38725.pdf
http://ir.uitm.edu.my/id/eprint/38725/
_version_ 1685651608553127936
score 13.211869

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