Temporal Aggregation Effects on the Construction of Portfolios of Stocks or Mutual Funds through Optimization Techniques - Some Empirical and Monte Carlo Results

Dikaios Tserkezos () and George Xanthos ()
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Dikaios Tserkezos: Department of Economics, University of Crete, Greece
George Xanthos: Technical Institute of Crete

No 812, Working Papers from University of Crete, Department of Economics

Abstract: In this paper we test the effects of temporal aggregation (disaggregation) on the efficiency of portfolio construction using the mean variance optimization approach. Using Monte Carlo techniques and empirical data from the Athens Stocks Exchange we confirm that the use of temporally aggregated data effects very seriously the efficiency of the constructed portfolio. Especially as the degree of temporal aggregation increases the application of optimization techniques could lead to different results regarding the percentage of stocks participation, the weights and finally the total portfolio performance.

Keywords: Portfolio Optimization, Stocks; Temporal Aggregation; Stochastic Simulation, The Banking Sector of the Athens Stocks Exchange (search for similar items in EconPapers)
JEL-codes: C32 C43 C51 G14 (search for similar items in EconPapers)
Date: 2007

Published in Operational Research Journal ,Volume 7

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Persistent link: http://EconPapers.repec.org/RePEc:crt:wpaper:0812

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