Abstract
The use of bivariate vector error correction models and Baba–Engl–Kraft–Kroner models is proposed for the selection of a stock portfolio (Markowitz portfolio) based on estimates of average returns on shares and the volatility of share prices. The model put forward is applied to a series of data regarding the prices of 150 shares traded on the Italian stock market (BIT) between 1 January 1975 and 31 August 2011.
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Pierini, A., & Naccarato, A. (2016). A multivariate vec-bekk model for portfolio selection. In Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies (pp. 307–315). Springer International Publishing. https://doi.org/10.1007/978-3-319-27274-0_27
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