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Mean-variance Portfolio Analysis using Accounting, Financial and Corporate Governance Variables-Application on London Stock Exchange’s FTSE 100

In: Developments in Mean-Variance Efficient Portfolio Selection

Author

Listed:
  • Megha Agarwal

    (University of Delhi)

Abstract

The issue of portfolio construction involving analysis of various aspects by an investor — fundamental accounting, financial as well as governance — has been dealt with here through the application of MCDM approach from the field of operations research. A multi-objective quadratic programming model with the objective function of minimising variance (volatility) and constraints relating to multiple decision criteria such as return (capital and dividend), systematic risk (beta), marketability (trade volume and price-to-earnings ratio), management efficiency (operating profit margin), profitability (net profit margin), governance (free float) and future investment opportunities (free cash flows) has been obtained. The portfolio selection model has been applied to London Stock Exchange’s FTSE 100 to generate Pareto optimal portfolios.

Suggested Citation

  • Megha Agarwal, 2015. "Mean-variance Portfolio Analysis using Accounting, Financial and Corporate Governance Variables-Application on London Stock Exchange’s FTSE 100," Palgrave Macmillan Books, in: Developments in Mean-Variance Efficient Portfolio Selection, chapter 6, pages 181-203, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-35992-6_6
    DOI: 10.1057/9781137359926_6
    as

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