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Overcoming the uncertainties of an economic downturn using a universal portfolio in investment

1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.

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Bibliographic Details
Main Authors: Sook, Theng Pang, Choon, Peng Tan
Other Authors: pangst@utar.edu.my
Format: Working Paper
Language:English
Published: Universiti Malaysia Perlis (UniMAP) 2010
Subjects:
Regional Conference on Applied and Engineering Mathematics (RCAEM)
Universal portfolio
Investment
Economic downturn
Online Access:http://dspace.unimap.edu.my/xmlui/handle/123456789/10332
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spelling my.unimap-103322010-11-28T02:42:09Z Overcoming the uncertainties of an economic downturn using a universal portfolio in investment Sook, Theng Pang Choon, Peng Tan pangst@utar.edu.my tancp@utar.edu.my Regional Conference on Applied and Engineering Mathematics (RCAEM) Universal portfolio Investment Economic downturn 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang. In (Cover and Ordentlich, 1996) a parametric class of universal portfolios generated by the Dirichlet ) ..., , ( 1 m a a probability distribution is introduced and the study is focused on the universal portfolios generated by the Dirichlet (1, …, 1) and Dirchlet (1/2, …,1/2) distributions. In an earlier study by Cover (1991) the Dirichlet (1, …, 1) or the uniform portfolio was shown to perform well over a 22-year period on stocks listed on the New York Stock Exchange. In this study, two sets of stock price-relatives of 600 and 430 trading days were selected from the Kuala Lumpur Stock Exchange. Each set consists of stock pricerelatives of three Malaysian companies covering the economic downturn period of October 2008 until March 2009. The Dirichlet (1, …, 1) and Dirchlet (1/2, …,1/2) universal portfolios were shown to perform badly on the two data sets. We show that by varying the values of the parametric vectors ) , , ( 3 2 1 a a a , it is possible to find certain parametric vectors ) , , ( 3 2 1 a a a that can perform well on the stocks, implying that it is possible to ride out the storm in an economic downturn by choosing an appropriate universal portfolio. The Dirichlet (1, …, 1) and Dirichlet (1/2, …,1/2) universal portfolios may not perform well on all stocks and hence it is important to identify the appropriate parameter ) ..., , ( 1 m a a that can bring us higher returns in stock investment. 2010-11-28T02:42:09Z 2010-11-28T02:42:09Z 2010-06-02 Working Paper Vol.4(2), p.369-373 http://hdl.handle.net/123456789/10332 en Proceedings of the 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 Universiti Malaysia Perlis (UniMAP) Institut Matematik Kejuruteraan
institution Universiti Malaysia Perlis
building UniMAP Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Perlis
content_source UniMAP Library Digital Repository
url_provider http://dspace.unimap.edu.my/
language English
topic Regional Conference on Applied and Engineering Mathematics (RCAEM)
Universal portfolio
Investment
Economic downturn
spellingShingle Regional Conference on Applied and Engineering Mathematics (RCAEM)
Universal portfolio
Investment
Economic downturn
Sook, Theng Pang
Choon, Peng Tan
Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
description 1st Regional Conference on Applied and Engineering Mathematics (RCAEM-I) 2010 organized by Universiti Malaysia Perlis (UniMAP) and co-organized by Universiti Sains Malaysia (USM) & Universiti Kebangsaan Malaysia (UKM), 2nd - 3rd June 2010 at Eastern & Oriental Hotel, Penang.
author2 pangst@utar.edu.my
author_facet pangst@utar.edu.my
Sook, Theng Pang
Choon, Peng Tan
format Working Paper
author Sook, Theng Pang
Choon, Peng Tan
author_sort Sook, Theng Pang
title Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
title_short Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
title_full Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
title_fullStr Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
title_full_unstemmed Overcoming the uncertainties of an economic downturn using a universal portfolio in investment
title_sort overcoming the uncertainties of an economic downturn using a universal portfolio in investment
publisher Universiti Malaysia Perlis (UniMAP)
publishDate 2010
url http://dspace.unimap.edu.my/xmlui/handle/123456789/10332
_version_ 1643789813520793600
score 13.214268

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