Sidi Omar, Sidi Syaffiee
(2015)
Ideal portfolio construction by using single index model based on bursa Malaysia data / Sidi Syaffiee Sidi Omar.
Industrial Training.
Universiti Teknologi Mara Kampus Kota Bharu, Kota Bharu.
(Unpublished)
Abstract
The main purpose of this paper is to construct an ideal portfolio by using one of the model which is Sharpe's single-index model. For this purpose the daily closing prices of 686 companies listed in Main Market in Bursa Malaysia and all share price index for the period of
September 2009 to September 2014 have been considered. The proposed method formulates a unique cut off point (Cut off rate of return), selects stocks having excess return
to beta ratio surpassing this cut off point, and determines the percentage of investment in every of selected stocks. The optimum portfolio consists of 189 stocks selected out of 686stocks, giving the return of 0.26%.
Metadata
| Item Type: | Monograph (Industrial Training) |
|---|---|
| Creators: | Creators Email / ID Num. Sidi Omar, Sidi Syaffiee 2012445048 |
| Contributors: | Contribution Name Email / ID Num. Thesis advisor Amran, Azzah UNSPECIFIED |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > Construction industry H Social Sciences > HG Finance > Investment, capital formation, speculation H Social Sciences > HG Finance > Investment, capital formation, speculation > Investment companies. Investment trusts. Mutual funds H Social Sciences > HG Finance > Investment, capital formation, speculation > Stockbrokers. Security dealers. Investment advisers. Online stockbrokers |
| Divisions: | Universiti Teknologi MARA, Kelantan > Kota Bharu Campus |
| Keywords: | Sharpe's single-index model, Bursa Malaysia, share price index and stocks. |
| Date: | January 2015 |
| URI: | https://ir.uitm.edu.my/id/eprint/38725 |
- Edit Item
![[thumbnail of 38725.pdf]](https://ir.uitm.edu.my/style/images/fileicons/text.png)
