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Portfolio Diversification Strategy On Large Cap Stocks In Tokyo Stock Exchange

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dc.contributor.authorMuhammad Jaffar Sadiq Abdullahen_US
dc.contributor.authorNorizarina Ishaken_US
dc.date.accessioned2024-05-28T04:23:18Z
dc.date.available2024-05-28T04:23:18Z
dc.date.issued2019
dc.date.submitted21/2/2020
dc.descriptionVol. 11, Special Issue-12en_US
dc.description.abstractThe aim of this paper is to examine the best portfolio diversification strategy in three subperiods which are during the global financial crisis (GFC), post-global financial crisis and during the non-crisis period. Two types of diversification strategies are used and compared which are Markowitz’s mean-variance approach and naïve diversification. From past studies, many pieces of evidence have shown that naïve diversification strategy sometimes performed better or not as compared to the mean-variance framework. Therefore, in this study, we incorporate ten securities from five different industries to minimize the risk portfolio. We found that during the non-crisis period, the portfolio is not well diversified. Then, we construct ten efficient portfolios from the mean-variance approach. We choose and com-pare the optimal portfolio selected based on the risk-averse preference with the naïve portfolio. Performance wise that optimal portfolio dominated the naïve strategy throughout the three subperiods tested. All the optimal portfolios selected are yielding more return com-pared to the equal weight portfolio.en_US
dc.identifier.epage136
dc.identifier.issn1943-023X
dc.identifier.issue12
dc.identifier.spage126
dc.identifier.urihttps://jardcs.org/archivesview.php?volume=1&issue=33
dc.identifier.urihttps://oarep.usim.edu.my/handle/123456789/5481
dc.identifier.volume11
dc.language.isoen_USen_US
dc.publisherInstitute of Advanced Scientific Researchen_US
dc.relation.ispartofJournal of Advance Research in Dynamical & Control Systemsen_US
dc.subjectnaïve diversification, mean-variance, Sharpe ratio, efficient frontier, portfolio optimization.en_US
dc.titlePortfolio Diversification Strategy On Large Cap Stocks In Tokyo Stock Exchangeen_US
dc.typeArticleen_US
dspace.entity.typePublication

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