A note on applying the Markowitz portfolio selection model as a passive investment strategy on the JSE

2009 ◽  
Vol 38 (69) ◽  
pp. 39-45 ◽  
Author(s):  
AJ Du Plessis ◽  
M Ward
Keyword(s):  
Portfolio Selection ◽  
Investment Strategy ◽  
Selection Model ◽  
Markowitz Portfolio ◽  
Portfolio Selection Model

The Optimization on the Expected Utility Portfolio Selection Model without Short Sales

2011 ◽  
Vol 225-226 ◽  
pp. 1071-1074
Author(s):  
Peng Zhang ◽  
Hui Li Wang
Keyword(s):  
Portfolio Selection ◽  
Expected Utility ◽  
Risk Preference ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Selection Model ◽  
Short Sales ◽  
Expected Return ◽  
Portfolio Selection Model ◽  
Preference Coefficient

A new expected utility (EU) portfolio selection model without short sales is proposed. In the model, the expected utility function is quadratic. The model is solved by the pivoting algorithm. The paper showed in the EU portfolio selection model without the short sales, the relationship between the risk preference coefficient and the expected return is not linear but more complex. The risk preference coefficient could just reflect the investors’ preference in some intervals. We wrote program to calculate the optimal portfolios with the different coefficient. Investors could choose the optimal investment strategy according to both their own risk preference and the expected return of the portfolio.

scholarly journals A note on the integrability of the classical portfolio selection model

2010 ◽  
Vol 23 (9) ◽  
pp. 1114-1119 ◽  
Author(s):  
V. Naicker ◽  
J.G. O’Hara ◽  
P.G.L. Leach
Keyword(s):  
Portfolio Selection ◽  
Selection Model ◽  
Portfolio Selection Model
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