| Issue |
ITM Web Conf.
Volume 36, 2021
The 16th IMT-GT International Conference on Mathematics, Statistics and their Applications (ICMSA 2020)
|
|
|---|---|---|
| Article Number | 02002 | |
| Number of page(s) | 6 | |
| Section | Financial Mathematics | |
| DOI | https://doi.org/10.1051/itmconf/20213602002 | |
| Published online | 26 January 2021 | |
Universal portfolio analysis of Malaysia’s stocks for different durations
Department of Mathematical and Actuarial Sciences, Universiti Tunku Abdul Rahman, Jalan Sungai Long, Bandar Sungai Long, Cheras, 43000 Kajang, Malaysia
* Corresponding author: pangst@utar.edu.my
In this research, four proposed finite order universal portfolios were used to study Malaysia’s stock market comprehensively and the constant rebalanced portfolio (CRP) was used as a benchmark for comparison. The empirical performance of the four universal portfolio strategies was analysed experimentally concerning 95 stocks from different categories in Kuala Lumpur Stock Exchange (KLSE) from 1 January 2000 to 31 December 2015. Combinations of three stocks data from the selected 95 stocks are used for study for short-term (1-year duration), middle-term (4-years and 8-years durations) and long-term (12-years and 16-years durations). The empirical results showed that the performances of the proposed universal strategies are outperform CRP in 1 year and 4 years durations, but did poorly in 8-years, 12-years and 16-years durations. Therefore, these four UP strategies are empirically considered to be good investment strategies in the short-term.
© The Authors, published by EDP Sciences, 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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