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Correlation based clustering of the Mongolian stock exchange for portfolio management

Enkhtuul Bukhsuren, Department of Information and Computer Science, School of Engineering and Applied Sciences, National University of Mongolia, Batnyam Battulga, Oyun-Erdene Namsrai
2018 International journal of emerging multidisciplinary research  

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Background/Objectives: This research paper analyzed the stock prices of Mongolia Stock Exchange TOP 20 index from 1 January 2012 to 31 December 2016, and estimated the return rate of these stocks. Methods/Statistical analysis: A hierarchical clustering was created from the correlation matrix of stock returns. From this clustering five stocks were selected for the portfolio construction and the rate of return was maximized using the Modern Portfolio Theory developed by Harry Markowitz. Findings:
more » ... The weight of each stock in the portfolio was calculated for maximization the return rate of the portfolio, and 12 portfolios were constructed from these five stocks. Improvements/Applications: An investor can select appropriate one of these portfolios in accordance with his or her risk and return characteristics
doi:10.22662/ijemr.2018.2.2.013 fatcat:qczqoebff5f73nkk6ayjkizlhi
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Enkhtuul Bukhsuren, Department of Information and Computer Science, School of Engineering and Applied Sciences, National University of Mongolia, Batnyam Battulga, Oyun-Erdene Namsrai. "Correlation based clustering of the Mongolian stock exchange for portfolio management." International journal of emerging multidisciplinary research 2.2 (2018) 13-17