Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques

2010 ◽  
pp. 3-30 ◽  
Author(s):  
John B. Guerard
Keyword(s):  
Portfolio Construction ◽  
Risk And Return ◽  
Construction Techniques ◽  
The Masses

A comparison of non-Gaussian VaR estimation and portfolio construction techniques

2020 ◽  
Vol 58 ◽  
pp. 356-368
Author(s):  
David Allen ◽  
Colin Lizieri ◽  
Stephen Satchell
Keyword(s):  
Portfolio Construction ◽  
Construction Techniques ◽  
Non Gaussian

Portfolio Construction Techniques for Asia

2001 ◽  
Vol 2001 (5) ◽  
pp. 27-39
Author(s):  
Hon W. Cheung
Keyword(s):  
Portfolio Construction ◽  
Construction Techniques

scholarly journals An Analytical Study on Harry Markowitz Portfolio Construction of Selected Industries

2019 ◽  
Vol 15 (4) ◽  
pp. 99
Author(s):  
Vishweswarsastry V.N. ◽  
Binoy Mathew
Keyword(s):  
Decision Making ◽  
Analytical Study ◽  
Primary Objective ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Portfolio Risk ◽  
Expected Return ◽  
Construction Technique ◽  
Risk And Return ◽  
Markowitz Portfolio

Risk and return are two faces of the same coin, Investments made by the investors are certain whereas the returns expected are uncertain when measured known as risk. The primary objective of the paper is to study the risk and return measures available for decision making, secondly to apply the techniques of beta and standard deviation for analyzing the risk and expected return for analyzing the return and to construct an optimal portfolio by applying Harry Markowitz portfolio construction technique. The Methodology applied is analytical and descriptive and application of Harry Markowitz portfolio Risk and Return techniques for the construction of an optimal portfolio.

scholarly journals The impact of sectorial and geographical segmentation on risk-based asset allocation techniques

2019 ◽  
Vol 16 (3) ◽  
pp. 260-274
Author(s):  
Ignazio Basile ◽  
Pierpaolo Ferrari ◽  
Guido Abate
Keyword(s):  
Asset Allocation ◽  
Equity Market ◽  
Portfolio Construction ◽  
Financial Evaluation ◽  
Significant Preference ◽  
Construction Techniques ◽  
Internal Coherence ◽  
Stock Market Investment ◽  
The Impact ◽  
Made In

In the last decades, risk-based portfolio construction techniques have enjoyed a widespread diffusion in the financial community. This study aims at evaluating how these portfolio construction techniques produce different results depending on whether the segmentation of the stock market investment universe is based on sectorial or geographical criteria. An empirical analysis, applied on the global equity market, is carried out by making use of the typical and most advanced statistical and financial evaluation measures. Geographical segmentation is carried out in relation to the listing market, while sectorial segmentation is made in relation to the productive sectors to which individual companies belong. Our comparative analysis provides substantially coherent results, demonstrating a significant preference for the sectorial criterion compared to the geographic one. In conclusion, this result can be attributed to the subdivision of the investment universe into sectorial indices characterized by greater internal coherence and better external differentiation, in addition to the lower concentration of sectorial segmentation compared to the geographical one.

Sign in / Sign up

Export Citation Format

Share Document