Tamiz M* and Azmi RA
This paper investigates methods for finding the proportion of funds (weights) invested in each asset in a portfolio that has been set up based on the decision maker’s choice of assets from a given set. These methods include, equal, ranked and return-based weights as well as Sharpe, Treynor, Markowitz and Goal Programming. The results show that using an optimization methodology produces a more reasonable portfolio with respect to risk and return. This is followed by Sharpe and Treynor methodologies. The weighting schemes experimented in this paper would enable investors to systematically establish the preferred weights for their investment portfolios.
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