Markowitz Portfolio Theory

2016 ◽  
pp. 83-150
Author(s):  
Arlie O. Petters ◽  
Xiaoying Dong
Keyword(s):  
Portfolio Theory ◽  
Markowitz Portfolio

scholarly journals Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

2017 ◽  
pp. 24-42
Author(s):  
Martin Širůček ◽  
Lukáš Křen
Keyword(s):  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Dow Jones Industrial Average ◽  
Markowitz Portfolio ◽  
The Us ◽  
Capm Model ◽  
Optimal Approach ◽  
Investment Portfolios ◽  
High Beta

This chapter is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor's portfolio.

scholarly journals Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

2015 ◽  
Vol 63 (4) ◽  
pp. 1375-1386 ◽  
Author(s):  
Martin Širůček ◽  
Lukáš Křen
Keyword(s):  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Dow Jones Industrial Average ◽  
Markowitz Portfolio ◽  
The Us ◽  
Capm Model ◽  
Optimal Approach ◽  
Investment Portfolios ◽  
High Beta

This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor’s portfolio.

scholarly journals Application of Markowitz Portfolio Theory to Producing the World Major Field Crops

2020 ◽  
Vol 12 (4) ◽  
pp. 123-131
Author(s):  
Natalia Vasylieva
Keyword(s):  
Portfolio Theory ◽  
Global Food Security ◽  
Country Level ◽  
Trade Offs ◽  
World Markets ◽  
Markowitz Portfolio ◽  
The World ◽  
Research Outcome ◽  
Mean Variance ◽  
Global Food

Development of growing cereals and oilseeds is a pressing issue for providing global food security and renewable energy. The study deals with applying methods of portfolio theory to mitigate natural and marketing uncertainties emerged from unstable yields and volatile prices for wheat, maize, barley, sunflower, soybeans, and rapeseed. The research outcome based on the utilization of Markowitz mean-variance indicators made possible to evaluate portfolio performances of the world top cereals and oilseeds producers. The study findings at a country level combined econometric forecasting of the crop revenues and modeling optimal portfolios of cereals and oilseeds subject to acceptable trade-offs between risks and expected revenues. The fulfilled calculations with Ukrainian focus clarified farmland allocations under cereal and oilseed crops to underpin biodiversity and keep firm positions in the world markets.

scholarly journals Testing of portfolio optimization through investments in stock market indices and Bitcoin

2021 ◽  
Vol 69 (6-7) ◽  
pp. 318-332
Author(s):  
Miloš Grujić ◽  
Boško Mekinjić ◽  
Dragana Vujičić-Stefanović
Keyword(s):  
Stock Market ◽  
Portfolio Optimization ◽  
Institutional Investors ◽  
Stock Exchange ◽  
Optimization Theory ◽  
Portfolio Theory ◽  
Modern Portfolio Theory ◽  
Markowitz Model ◽  
Advantages And Disadvantages ◽  
Markowitz Portfolio

This paper presents an empirical verification of the effectiveness and usefulness of investment diversification using the main stock exchange indices and Bitcoin. The objective is to determine the effects applying the Markowitz portfolio optimization theory, i.e., the advantages of applying the modern portfolio theory for institutional investors. The research offers an answer to the following question: what are the advantages and disadvantages of using Bitcoin in portfolio optimization? The paper contributes to the representation of the reach and limitations of the modern portfolio theory for institutional investors. The conclusion is that rational behaviour of institutional investors requires consideration of portfolio optimization using the Markowitz model, because it is possible to create portfolios which, on the basis of historical returns, provide desired returns alongside certain risks. The methodology includes the analysis of high frequency data, i.e., daily trading data were used. The results indicate that the use of the Markowitz portfolio selection method, with all its limitations, is desirable, possible and applicable, but that it entails serious flaws in the sense of neglecting transaction costs, foreign exchange differences and the real value in the stock market. The results of the research show that Bitcoin is a good source of diversification in a portfolio that contains traditional financial instruments both for the risk-averse investor as well as for those investors who have a greater appetite for risk. The conclusion is that rational behavior of institutional investors requires consideration of investing in Bitcoin using the Markowitz model. However, given the high degree of volatility, investors should be very careful when making decisions about including Bitcoin in the portfolio.

scholarly journals From finance to ITS: traffic data fusion based on Markowitz' portfolio theory

2015 ◽  
Vol 50 (2) ◽  
pp. 145-164 ◽  
Author(s):  
Thorsten Neumann ◽  
Rüdiger Ebendt ◽  
Günter Kuhns
Keyword(s):  
Data Fusion ◽  
Portfolio Theory ◽  
Traffic Data ◽  
Markowitz Portfolio
Sign in / Sign up

Export Citation Format

Share Document