Apandi, Ruqayyah and Mohd Bakhtir, Nur Suhailah and Ramli, Nur Fatini
(2019)
*Optimum portfolio visualiser for risky assets using mean-variance model / Ruqayyah Apandi, Nur Suhailah Mohd Bakhtir and Nur Fatini Ramli.*
[Student Project]
(Unpublished)

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## Abstract

This research focuses in minimising the risk using mean risk model that

was first introduced by Markowitz (1952) for solving portfolio selection

problem. Thus, a variance is used as a risk measure in this project. The

scenario returns were obtained based on the historical monthly returns

from FBMKLCI. The mean-variance model and data set are being implemented

in Microsoft Excel and there are different level of target returns

which the optimal portfolios arc evaluated. Hence, the purpose of this

study is to optimise portfolio of risky assets under different level of target

return using mean-variance model. Next, to validate in-sample portfolios

obtained using the out-of-sample analysis. The in-sample result shows

that diversification allows us to reduce the risk of the portfolio without

sacrificing potential returns and it also shows that the lower the target

return, the lower the risk and the higher the target return, the higher

the risk. Based on the out-of-sample analysis, when the expected realised

return is low, it will give a low realised risk, when the expected realised

return is medium, the realised risk will also be medium and when the

expected realised return is high, the realised return is also high. Consequently,

to develop user interface as an optimal portfolio visualiser. The

user interface design is used to visualise the composition of portfolios and

realised returns in graphicas view to help the user quickly absorb and

interpret the presented result after they have entered the specific target

return. Generally, based on the results that we obtained, we can conclude

that mean-variance is applicable and widely used, as the method is easy

to be calculated, but only favorable at low target return. If we were to design

this study again, there are several changes that we would make. Most

importantly we would go for a longer time period in order to create more

scenario returns, include other types of data set, not only from FBMKLCI

and to include more methodological work on how to robustly capture the

impact and outcomes of different kind of risk measure in optimisation

portfolio such as value-at-risk and also conditional value-at-risk.

## Metadata

Item Type: | Student Project |
---|---|

Creators: | Creators Email Apandi, Ruqayyah UNSPECIFIED Mohd Bakhtir, Nur Suhailah UNSPECIFIED Ramli, Nur Fatini UNSPECIFIED |

Subjects: | Q Science > QA Mathematics > Mathematical statistics. Probabilities Q Science > QA Mathematics > Analysis > Analytical methods used in the solution of physical problems |

Divisions: | Universiti Teknologi MARA, Negeri Sembilan > Seremban Campus > Faculty of Computer and Mathematical Sciences |

Programme: | Bachelor of Science (Hons.) Mathematics |

Item ID: | 37287 |

Uncontrolled Keywords: | Optimum portfolio visualiser, risky assets, mean-variance model |

URI: | https://ir.uitm.edu.my/id/eprint/37287 |

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## ID Number

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