Unleashing the Potential: Exploring Cashless Investment Strategies through Short-Selling Techniques and Modern Portfolio Theory

Wichai  Witayakiattilerd; Chalermpol  Neaimsri; Thanyamas  Atthaphichan; Chatsiya  Boontam; Panya  Senarat

Authors

Wichai Witayakiattilerd Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Pathum Thani, Thailand
Chalermpol Neaimsri Trinity Securities Co., Ltd., South Sathorn Road, Sathon District, Bangkok, Thailand
Thanyamas Atthaphichan Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Pathum Thani, Thailand
Chatsiya Boontam Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Pathum Thani, Thailand
Panya Senarat Department of Mathematics and Statistics, Faculty of Science and Technology, Thammasat University, Pathum Thani, Thailand

Keywords:

Short selling, technical analysis, moving average, modern portfolio theory

Abstract

This research paper investigates cashless investment strategies using the short-selling technique and the principles of Markowitz’s Portfolio Theory and Modern Portfolio Theory (MPT). The study examines the linear relationship between securities in the SET50 index group using correlation coefficient and beta coefficient values and creates a portfolio of two stocks with a negative correlation.
Using short-selling techniques, we develop a model to identify suitable investment portfolios for cashless investment strategies and analyze five years of daily closing prices of 41 securities in the SET50 index group. We use the cross-exponential moving average 2 lines (Cross EMA) to set buysell signals and evaluate performance using Shape Ratio, Success Rate, and Net Margin Profit. The
results show 72 suitable investment portfolios for cashless investment strategies using short-selling techniques, ranked by their net margin profit, providing investors with valuable insights and recommendations. We discuss the implications of our findings and outline areas for future research while acknowledging the study’s limitations. This study demonstrates the potential of cashless investment
strategies using the short-selling technique and the value of applying Markowitz’s Portfolio Theory and MPT to portfolio construction.

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