Catalin Cristian DARASTEANU
DELINEATING EFFICIENT PORTFOLIOS AND FORECASTING THE CONDITIONAL VARIANCE: THE CASE OF THE BUCHAREST STOCK EXCHANGE

Abstract

This paper presents a way of constructing several efficient portfolios at the Bucharest Stock Exchange, as well as a risk analysis of the respective portfolios. Therefore, the study is divided into two parts. The first part deals with the construction of optimal portfolios by using the cut-off technique. The new constructed portfolios are supposed to offer more returns than several other financial assets from the Romanian markets. The second part will include an estimation of the risk of the constructed portfolios. In the latter section of this part, we will forecast the conditional variance of the portfolios.

Key words: efficient portfolio, risk analysis, cut-off point method, ARCH/GARCH models, forecasting the conditional variance.
JEL Classification: G11, G24, C53