A REGRESSION-BASED METHODOLOGY FOR EFFICIENTLY BUILDING FUTURES’ PORTFOLIOS

Nowadays financial markets are facing continuous values’ fluctuations, resulting in higher risks that eventually influence investors’ decisions. In this article a methodology is proposed in order to efficiently build portfolios of futures. The new methodology is tested on data from the derivative indices FTSE/ASE-20 and FTSE/ASA MID 40 in Greece. The final result is an investment decision, based on forecasting the indices’ direction. Both the statistical and economic significance of the methodology has been evaluated.