Portfolio efficiency of univariate time series models

Abstract

In the paper we apply a Markowitz Super Criterion to test the Portfolio Efficiency of statistically acceptable time series models for Finnish and Swedish stock markets. We will use a subset of the time series models presented previously for the Finnish and Swedish daily price index data over the 1970–1987 time interval for all listed stocks in the Helsinki and Stockholm Stock Exchanges. The Portfolio Efficiency Test allows an evaluation and comparison of the economic implications of the predictability of stock prices in two neighbouring countries.