Finding the best portfolio for the long term investor

2010

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2010 This paper examines different portfolios of U.S financial assets, trying to find the best portfolio for the long-term investor. I compare bond portfolios with stock portfolios based on statistics as book-to-market ratio, market capitalization, earnings yield, dividend yield and cash flow yield, stock portfolios based on industry and the market portfolio. The ranking devices I am using are Sharpe ratio and Sortino ratio. Dependent on the assumption on whether the returns are independent and identically distributed or not, the probability distribution of the return are simulated by using two different methods, the standard…