2020

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Browsing 2020 by Author "BUSHRA MASOOD"

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    INDUSTRY MOMENTUM IMPROVE THE PORTFOLIO PERFORMANCE AN NANLYSIS OF PAKISTAN STOCK EXCHANGE
    (UMT.Lahore, 2020) BUSHRA MASOOD
    This thesis proposes a parametric portfolio policy that uses industry return momentum to improve portfolio performance in the Pakistan stock exchange during the period 2010- 2018 by using Markowitz's minimum- variance framework. Using daily excess return, we first examine the impact of industry momentum on the portfolio performance by comparing it traditional MPV and naïve strategy then we check which strategy performs better. Finally, the findings of the study suggest that industry momentum does not perform better as compared to other strategies. Moreover, the traditional minimum variance portfolio performs better in PSX.