EMPIRICKÉ TESTOVÁNÍ MODELŮ SESTAVENÍ PORTFOLIA AKCIÍ - REVIZE
EMPIRICAL TESTING OF STOCK PORTFOLIO SELECTION PROCESS - REVISION

Author(s): Peter Mokrička, Petr Červinek
Subject(s): Methodology and research technology, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: Portfolio Theory; Markowitz; Cutoff rate; SPAD; NYSE; PX; DJIA;
Summary/Abstract: The article reassumes the article published by the author in the year 2010 that were dealt with approaches and procedures of the portfolio selection process and with testing these with real data. We have again examined three different procedures of stock portfolio selection and the resulting portfolios were tested with real data starting with the first trading day in 2011 until 11th May 2011. The stock representatives for the portfolio selection became the stocks traded via SPAD on BCPP and stocks that were part of DJIA and traded on NYSE.

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