The following information was submitted:
Transactions: INTERNATIONAL JOURNAL of APPLIED MATHEMATICS AND INFORMATICS
Transactions ID Number: 17-267
Full Name: Florentin Serban
Position: Lecturer
Age: ON
Sex: Male
Address: Calea Dorobanţilor 15-17, 0105724, Bucharest,
Country: ROMANIA
Tel: 0723148126
Tel prefix: 004
Fax:
E-mail address: florentin.serban@csie.ase.ro
Other E-mails: florentinserban@yahoo.com
Title of the Paper: The relationship profitability - risk for an optimal portfolio building with two risky assets and a risk-free asset
Authors as they appear in the Paper: Florentin Serban, Maria Viorica Stefanescu, Silvia Dedu
Email addresses of all the authors: florentin.serban@csie.ase.ro, viorica.stefanescu@yahoo.com, silvia.dedu@csie.ase.ro
Number of paper pages: 8
Abstract: This paper present a combination of classification theory with risk estimation theory to determine the best assets through those that we analyzed. We present also building to the efficient frontier for a portfolio with 2 or 3 assets We use a data analysis method to obtain two classes of assets and then we estimate the risk of each asset corresponding to each class. Thus, we get the best two assets among those considered risky for which we build the efficient frontier if we consider that the portfolio consists of these two risky assets and a risk-free asset. To illustrate the effectiveness of the method used, we present a case study that refers to the Bucharest Stock Exchange. We construct the efficient frontier, based on the correlation of the best stocks that we have obtained through data analysis (for classification), and by assessing the loss distribution (for risk assessment), taking into account that the portfolio contains an asset without risk.
Keywords: Efficient Frontier, Optimization, Portfolio Selection, Principal Component Analysis, Risk Estimation
EXTENSION of the file: .doc
Special (Invited) Session: The efficient frontier for a portfolio that includes one risk-free asset
Organizer of the Session: 303-230
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