Momentum Investment Strategies with Portfolio Optimization: A Study on Nasdaq OMX Stockholm Large Cap
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
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.
Finance, Momentum Investments, Portfolio Theory, Portfolio Optimization, Naive Diversification, Asset Allocation, Mean-Variance Efficiency, Sharpe-Ratio Hypothesis Test
Mathematics Computational Mathematics Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:mdh:diva-24848OAI: oai:DiVA.org:mdh-24848DiVA: diva2:711425
Subject / course
2014-02-28, Västerås, 18:30 (English)
Pettersson, Lars, Consulting Senior LecturerMalyarenko, Anatoliy, Professor
Carlsson, Linus, Senior Lecturer