Please use this identifier to cite or link to this item:
|Other Titles:||The Optimal size of data to calculate the weight of assets in portfolio|
|Publisher:||เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่|
|Abstract:||The aims of this independent study are to analyze the optimal size of data to calculate the weight of assets in a portfolio and to be able to apply the appropriate data for investors who would like to manage their own investment portfolio. By studying historical securities data from the Stock Exchange of Thailand database between November 3, 2017, and March 28, 2019, it includes 19 securities to be used for calculating the weight of each investment. Securities include the expected returns and risks for investing in 3 months, 6 months, and 12 months. To come up with the appropriate timing and amount of information that investors should use to make investment decisions. The results indicated that the optimal size of data to calculate the weight of assets in a portfolio is 250 days of data. This amount of data will result in the highest average expected return with the highest risk or volatility that can be accepted. As for the investment period, it is determined that a duration of 6 months is ideal for the investment period based on the weight of the assets in the asset group. It is found that at 6 months, the average expected return is the highest with some risk or volatility. Hence, the same amount of data was used over the course of 30 days but at various times. The rate of return and the risks are thus varied. Same with the size of data that analyzed by increasing amount of data at the same period, for 12 evenly spaced periods of 20 times. The rates of return and risk are varied and inconsistent. An investor may need to compute the current data set for comparison if they are computing the weighted return. According to this analysis, there was insufficient information to determine the weight of the securities in the group.|
|Appears in Collections:||ECON: Theses|
Files in This Item:
|601632015-Thepsirirat Srivorakul.pdf||601632015-Thepsirirat Srivorakul||2.73 MB||Adobe PDF||View/Open Request a copy|
Items in CMUIR are protected by copyright, with all rights reserved, unless otherwise indicated.