Optimal Data Size in the Investment Strategy Combining the Bear and the Bull Market Portfolios

• Main Authors: Yun-Hui Chen, 陳芸慧
• Other Authors: 作者未提供
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/95s2vp

碩士 === 銘傳大學 === 經濟學系碩士班 === 95 === A new approach of technical analysis with respect to portfolio investment is suggested from this study, as it combines both the bull and the bear market portfolios without taking any hedging position from related derivative markets. At the beginning, a combinatory strategy of having both bull and bear market portfolios as the investment and the hedging positions or vice verse is empirically studied. However, it is found that this kind of investment strategy may be theoretically but not empirically applicable. Since both bull and bear market portfolios are negatively correlated with each other in nature, it is absolutely wise to take at a time only the right side to invest. Obviously, the key to make a successful execution is to have a good control on the timing of switch between the bull and the bear market portfolios, and this in turn, relies totally on the optimal data size to be used in the analytical work. Furthermore, in order to dissolve the concern of having no hedging position, applying additional stock price data in shorter tern for more analyses will be suggested from this study, and this also serves as the continued effort of this study in the future.