IDEAS home Printed from https://ideas.repec.org/p/uop/wpaper/0032.html
   My bibliography  Save this paper

A Regression-Based Methodology For Efficiently Building Futures’ Portfolios

Author

Listed:
  • Konstantinos Maris
  • Dimitra Koutsothymiou
  • Fotios Petropoulos
  • Eleni Petra
  • Panagiotis Evangelopoulos
  • Vassilios Assimakopoulos
  • Konstantinos Nikolopoulos

Abstract

Nowadays financial markets are facing continuous values’ fluctuations, resulting in higher risks that eventually influence investors’ decisions. In this article a methodology is proposed in order to efficiently build portfolios of futures. The new methodology is tested on data from the derivative indices FTSE/ASE-20 and FTSE/ASA MID 40 in Greece. The final result is an investment decision, based on forecasting the indices’ direction. Both the statistical and economic significance of the methodology has been evaluated.

Suggested Citation

  • Konstantinos Maris & Dimitra Koutsothymiou & Fotios Petropoulos & Eleni Petra & Panagiotis Evangelopoulos & Vassilios Assimakopoulos & Konstantinos Nikolopoulos, 2009. "A Regression-Based Methodology For Efficiently Building Futures’ Portfolios," Working Papers 0032, University of Peloponnese, Department of Economics.
    • Handle: RePEc:uop:wpaper:0032
    as

    Download full text from publisher

    File URL: http://econ.uop.gr/~econ/RePEc/pdf/regression_based_methodology.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Greece; Decision Support; Options Trading; Forecasting; Regression; Directional Accuracy.;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uop:wpaper:0032. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kleanthis Gatziolis (email available below). General contact details of provider: https://edirc.repec.org/data/depelgr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.