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Theoretical and Applied Economics
No. 4 / 2010 (545)

Comparative Analysis of Investment Funds Stocks-based Portfolios and BET Stocks-based Portfolios

Bucharest Academy of Economic Studies

Abstract. In this paper we intend to find out what is the best choice of stocks-based portfolio. The major goal is to find whether is more efficient to invest the whole capital in a single sector, like financial investments, or to create a diversified portfolio, taking into account assets from various economic sectors. Capital allocation will be based on the concept of cointegration. We have chosen this method because it can be applied on non-stationary data series, and, besides, it has the advantage of using the whole set of information provided by the financial assets. Another goal is to study how the portfolio structure adjusts if a shock occurs during the period under analysis so that to preserve a certain return or minimize a potential loss. The study will result in an investment solution in the Romanian capital market, even in the context of financial crisis.

Keywords: stocks-based portfolio; diversified portfolio; cointegration; financial crisis; long-short strategy.

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