Efficient frontier analysis for portfolio investment in Malaysia stock market
Modern portfolio theory is a theory of finance that attempts to maximize portfolio expected return for a given amount of risk, or minimize the risk for a given level of expected return. The objective of this study is to develop efficient frontier for portfolio investment consists of two stocks form...
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my.uum.repo.262922019-08-06T08:28:43Z http://repo.uum.edu.my/26292/ Efficient frontier analysis for portfolio investment in Malaysia stock market Abu Bakar, Nashirah Rosbi, Sofian HB Economic Theory Modern portfolio theory is a theory of finance that attempts to maximize portfolio expected return for a given amount of risk, or minimize the risk for a given level of expected return. The objective of this study is to develop efficient frontier for portfolio investment consists of two stocks form Kuala Lumpur Stock Exchange (KLSE). Daily share price is collected from Thomson Reuters DataStream. The methodology implemented in this study is statistical normality diagnostics checking, correlation analysis of two stock and mathematical modeling for Markowitz theory to achieve a global minimum of investment risk. The result shows expected portfolio return is 0.54 percentages at global minimum portfolio risk, 2.34 percentages. The findings of this study will help investors to select optimum investment weightage that minimize portfolio riskfor a given amount of expected return. Publications International 2018 Article PeerReviewed application/pdf en http://repo.uum.edu.my/26292/1/SI%20%28L30%205%202018%20%20723-729.pdf Abu Bakar, Nashirah and Rosbi, Sofian (2018) Efficient frontier analysis for portfolio investment in Malaysia stock market. Science International, 30 (5). pp. 723-729. ISSN 1013-5316 http://www.sci-int.com/Search?catid=105 |
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HB Economic Theory Abu Bakar, Nashirah Rosbi, Sofian Efficient frontier analysis for portfolio investment in Malaysia stock market |
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Modern portfolio theory is a theory of finance that attempts to maximize portfolio expected return for a given amount of risk, or minimize the risk for a given level of expected return. The objective of this study is to develop efficient frontier for portfolio investment consists of two stocks form Kuala Lumpur Stock Exchange (KLSE). Daily share price is collected from Thomson Reuters DataStream. The methodology implemented in this study is statistical normality diagnostics
checking, correlation analysis of two stock and mathematical modeling for Markowitz theory to achieve a global minimum of investment risk. The result shows expected portfolio return is 0.54 percentages at global minimum portfolio risk, 2.34
percentages. The findings of this study will help investors to select optimum investment weightage that minimize portfolio riskfor a given amount of expected return. |
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Article |
author |
Abu Bakar, Nashirah Rosbi, Sofian |
author_facet |
Abu Bakar, Nashirah Rosbi, Sofian |
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Abu Bakar, Nashirah |
title |
Efficient frontier analysis for portfolio investment in Malaysia stock market |
title_short |
Efficient frontier analysis for portfolio investment in Malaysia stock market |
title_full |
Efficient frontier analysis for portfolio investment in Malaysia stock market |
title_fullStr |
Efficient frontier analysis for portfolio investment in Malaysia stock market |
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Efficient frontier analysis for portfolio investment in Malaysia stock market |
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efficient frontier analysis for portfolio investment in malaysia stock market |
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Publications International |
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2018 |
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http://repo.uum.edu.my/26292/1/SI%20%28L30%205%202018%20%20723-729.pdf http://repo.uum.edu.my/26292/ http://www.sci-int.com/Search?catid=105 |
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