A Two-Phase Optimal Portfolio Selection Using Sharpe Index Model Applied to the Athens Stock Exchange

  Although in literature numerous multivariate models have been applied for optimal portfolio selection based on either market or accounting stock characteristics, whereby plenty of technical and/or fundamental criteria have been proposed, the problem is yet to be solved. This paper enhances a two-phased analysis that combines both fundamental and technical criteria, to overcome the aforementioned shortcomings. Initially, the fundamental characteristics of 25 stocks from 11 industries/sectors with the largest market capitalization, are compared to the performance of the Athens Stock Exchange FTSE/XA Large CAP Index, and hence two scoring tables are formed using different benchmarks, where the best performing stocks are selected. Subsequently, for these stocks, based on weekly data covering a 3-year period, the Sharpe Index Model is applied, and the best performing portfolio is selected. The estimated Sharpe Index Model (SIM) reveals that there are several opportunities to optimize return and diversify risk in an efficient manner, outperforming the FTSE Large Cap Index.   JEL Classifications: D53, G11, G12, G17, G23 Key words: Risk & Return, Technical Analysis, Fundamental Analysis, Sharpe Index Model