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Abstract
Stock returns are often the primary objectives for investors, financial analysts as well as the politicians with the intention to make a right investment decision. In this paper, we study the performance of the three-parameters Dirichlet universal portfolio on selected stocks during the COVID-19 pandemic. Some empirical results are obtained based on some selected data sets from the local stock exchange. The period of trading of the stocks are selected from 2nd January 2020 to 18th August 2021 consisting of 400 trading days. The empirical results seem to indicate the three-parameters Dirichlet universal portfolio performs well during the COVID-19 pandemic by a proper choice of parameters. Also, this study provides evidence that the capital achievement at the end of the 400th trading days is influenced by the arrangement of the stocks within each selected data set. Besides, the performance of the homogeneous datasets, particularly, main data set from healthcare sector, is better than heterogeneous datasets during the COVID-19 pandemic.
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References
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- C.P. Tan, “Performance Bounds for Dirichlet-Weighted Universal Portfolios,” Proceedings of the 2002 International Symposium on Information Theory and Its Applications, 2002, pp. 587–590.
- K.Y.M. Lee, M. Jais, and C.W. Chan, “Impact of COVID-19: Evidence from Malaysian Stock Market,” International Journal of Business and Society, Vol. 21, No. 2, pp. 607–628, 2020, doi: 10.33736/ijbs.3274.2020.
- N. Abuoliem, B. Kalyebara, and C.W.S.C.W. Ibrahim, “Revisiting Portfolio Optimization and 1/N Rules: Shariah vs Conventional Stocks'performance During the COVID-19 Pandemic,” International Journal of Entrepreneurship, Vol. 25, No. 4, pp.1–14, 2021.
- M. Haseeb, N.S. Mahdzan, and W.M.W. Ahmad, “Are Shariah-Compliant Firms Less Prone to Stock Price Crash Risk? Evidence from Malaysia,” International Journal of Islamic and Middle Eastern Finance and Management, Vol. 16, No. 2, pp. 291–309, 2023, doi: 10.1108/IMEFM-06-2021-0223.
- R.A. Subekti and D. Rosadi, “Toward the Black–Litterman with Shariah-Compliant Asset Pricing Model: A Case Study on the Indonesian Stock Market During The COVID-19 Pandemic,” International Journal of Islamic and Middle Eastern Finance and Management, Vol. 15 No. 6, pp. 1150–1164, 2002, doi: 10.1108/IMEFM-12-2020-0633.
- C.T. Chan., “Universal Portfolios and Relative Entrophy Bounds in Investment,” Master’s thesis. University of Malaya, Kuala Lumpur, Malaysia, 2002.
References
C.P. Tan and Sook Theng Pang, “A parameter-varying universal portfolio using a cyclic constrained-search algorithm,” 2012 IEEE Conference on Sustainable Utilization and Development in Engineering and Technology (STUDENT), Kuala Lumpur, Malaysia, 2012, pp. 39–45, doi: 10.1109/STUDENT.2012.6408362.
C.P. Tan, “Performance Bounds for Dirichlet-Weighted Universal Portfolios,” Proceedings of the 2002 International Symposium on Information Theory and Its Applications, 2002, pp. 587–590.
K.Y.M. Lee, M. Jais, and C.W. Chan, “Impact of COVID-19: Evidence from Malaysian Stock Market,” International Journal of Business and Society, Vol. 21, No. 2, pp. 607–628, 2020, doi: 10.33736/ijbs.3274.2020.
N. Abuoliem, B. Kalyebara, and C.W.S.C.W. Ibrahim, “Revisiting Portfolio Optimization and 1/N Rules: Shariah vs Conventional Stocks'performance During the COVID-19 Pandemic,” International Journal of Entrepreneurship, Vol. 25, No. 4, pp.1–14, 2021.
M. Haseeb, N.S. Mahdzan, and W.M.W. Ahmad, “Are Shariah-Compliant Firms Less Prone to Stock Price Crash Risk? Evidence from Malaysia,” International Journal of Islamic and Middle Eastern Finance and Management, Vol. 16, No. 2, pp. 291–309, 2023, doi: 10.1108/IMEFM-06-2021-0223.
R.A. Subekti and D. Rosadi, “Toward the Black–Litterman with Shariah-Compliant Asset Pricing Model: A Case Study on the Indonesian Stock Market During The COVID-19 Pandemic,” International Journal of Islamic and Middle Eastern Finance and Management, Vol. 15 No. 6, pp. 1150–1164, 2002, doi: 10.1108/IMEFM-12-2020-0633.
C.T. Chan., “Universal Portfolios and Relative Entrophy Bounds in Investment,” Master’s thesis. University of Malaya, Kuala Lumpur, Malaysia, 2002.