JSM Preliminary Online Program
This is the preliminary program for the 2009 Joint Statistical Meetings in Washington, DC.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2009 Program page

Activity Number: 130
Type: Contributed
Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #304701
Title: Investment Strategy and Decisions
Author(s): Les Yen and Gretchen Colon-Miranda*+
Companies: University of Phoenix and University of Phoenix/NVA
Address: , , ,
Keywords: Modern Portfolio Theory ; High-frequency data ; Economic and financial indicators ; Adaptive rebalancing schemes
Abstract:

Modern Portfolio Theory (MPT) developed by Harry M. Markowitz, 1990 Nobel laureate, proved that a diversified or optimal investment is one that mixes assets so as to maximize return and minimize risk. This concept for measuring the level of risks associated with various assets and diversification of assets became the routine investment procedures applied within and outside of traditional financial portfolios. This paper examines and evaluates investment performance based on the factors: (1) Economic and financial indicators, (2) Real-time data, (3) High-frequency data and (4) Adaptive rebalancing of assets. We design an experiment to test whether these factors are likely to influence the outcome of the investment performance, strategy and decisions.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2009 program


JSM 2009 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised September, 2008