Mean-variance Portfolio Analysis using Accounting, Financial and Corporate Governance Variables-Application on London Stock Exchange’s FTSE 100

Megha Agarwal
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Megha Agarwal: University of Delhi

Chapter 6 in Developments in Mean-Variance Efficient Portfolio Selection, 2015, pp 181-203 from Palgrave Macmillan

Abstract: Abstract The issue of portfolio construction involving analysis of various aspects by an investor — fundamental accounting, financial as well as governance — has been dealt with here through the application of MCDM approach from the field of operations research. A multi-objective quadratic programming model with the objective function of minimising variance (volatility) and constraints relating to multiple decision criteria such as return (capital and dividend), systematic risk (beta), marketability (trade volume and price-to-earnings ratio), management efficiency (operating profit margin), profitability (net profit margin), governance (free float) and future investment opportunities (free cash flows) has been obtained. The portfolio selection model has been applied to London Stock Exchange’s FTSE 100 to generate Pareto optimal portfolios.

Keywords: Cash Flow; Systematic Risk; Portfolio Selection; Sharpe Ratio; Free Cash Flow (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35992-6_6

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DOI: 10.1057/9781137359926_6

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