Optimal Data Length for Portfolio Investment

• Main Authors: Shu-Jen Chuang, 莊樹人
• Other Authors: Sung-Ching Lee
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/65425850630371414374

碩士 === 銘傳大學 === 經濟學研究所 === 89 === Investors have individual preferences as to risk and return, usually they prefer more expected return to less and less risk to more. As a comparison of individual investors and institutional investors, the former have disadvantage in acquiring capital, professional knowledge, information and so on. If the weak form of efficient markets hypothesis is rejected, investors can predict future returns from past movements of security returns. In other words, analysis of price and trading records of securities can be useful in forming profitable investment strategies for investors. In this study, the portfolio selection is based on the Markowitz Mean-Variance Theory, which states that the objective function of an investor is to minimize portfolio risk subject to a targeted expected rate of return. The Modern Portfolio Theory（MPT）which states the importance of simultaneous considerations of optimal portfolio for investment selection, optimal holding time or adjustment frequencies, composes of a complete set of optimal investment strategies in security market, which we used extensively in our study. Most important findings in our study are that the optimal length of security price data to be analyzed for portfolio investment is four weeks and the optimal holding time of portfolio investment is six trading days. The foregoing findings help us to develop an optimal investment strategy, and its rate of return is higher than the rate of return of the Taiwan Stock Exchange Index.