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Momentum Investment Strategies with Portfolio Optimization: A Study on Nasdaq OMX Stockholm Large Cap
Mälardalen University, School of Education, Culture and Communication.
Mälardalen University, School of Education, Culture and Communication.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. The study showed that the naive allocation model outperformed the mean-variance model both economically as well as statistically. No indication where obtained for a lagged return effect when letting a mean-variance model choose weights for a quarterly holding period and the resulting investment recommendation is to follow a naive investment strategy within a momentum framework.

Place, publisher, year, edition, pages
2014. , 88 p.
Keyword [en]
Finance, Momentum Investments, Portfolio Theory, Portfolio Optimization, Naive Diversification, Asset Allocation, Mean-Variance Efficiency, Sharpe-Ratio Hypothesis Test
National Category
Mathematics Computational Mathematics Probability Theory and Statistics
URN: urn:nbn:se:mdh:diva-24848OAI: diva2:711425
Subject / course
Mathematics/Applied Mathematics
2014-02-28, Västerås, 18:30 (English)
Available from: 2014-04-10 Created: 2014-04-10 Last updated: 2014-04-10Bibliographically approved

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Momentum Investment Strategies(3884 kB)1261 downloads
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