Siriphen Pungetmongkol, E. Nantajeewarawat, Pattravadee Ploykitikoon, Paramet Tanwanont
{"title":"Portfolio Management in Different Market Trends for Thai Mutual Funds","authors":"Siriphen Pungetmongkol, E. Nantajeewarawat, Pattravadee Ploykitikoon, Paramet Tanwanont","doi":"10.1109/ecti-con49241.2020.9158208","DOIUrl":null,"url":null,"abstract":"The paper aims to investigate portfolio performance of a rebalanced portfolio and a buy-and-hold portfolio for five different market trends, i.e., up, down, sideway up, sideway down, and sideway market trends. Three asset classes, i.e., equity, bond, and gold, are considered. The portfolio initial weights for assets are determined by using the Markowitz method. Geometric Brownian motion is used for simulating future prices of each asset. Linear regression is performed to classify the simulated prices into different market trends. The rebalancing technique is applied to each trend. The risk and return performance of a rebalanced portfolio and those of a buy-and-hold portfolio are compared for each market trend.","PeriodicalId":371552,"journal":{"name":"2020 17th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2020 17th International Conference on Electrical Engineering/Electronics, Computer, Telecommunications and Information Technology (ECTI-CON)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ecti-con49241.2020.9158208","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
The paper aims to investigate portfolio performance of a rebalanced portfolio and a buy-and-hold portfolio for five different market trends, i.e., up, down, sideway up, sideway down, and sideway market trends. Three asset classes, i.e., equity, bond, and gold, are considered. The portfolio initial weights for assets are determined by using the Markowitz method. Geometric Brownian motion is used for simulating future prices of each asset. Linear regression is performed to classify the simulated prices into different market trends. The rebalancing technique is applied to each trend. The risk and return performance of a rebalanced portfolio and those of a buy-and-hold portfolio are compared for each market trend.
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