Theoretical and Applied Economics
No. 9 / 2006 (504)
Study about Markowitz Model Applicability on Romanian Stock Exchange Market
Universitatea „Valahia” Târgoviste
Abstract. This paper deals with the application of the analysis on a portfolio made up of eight titles, through determination of the portfolio with absolute minimum variation and of the frontier of efficiency. Thus, using the Markowitz model, the dimensions of the portfolio with minimum absolute variation could be established but its profitability was smaller than the profitability offered by the BET rating. The best strategy to follow in this respect would have been to adopt a passive strategy and to take over the structure of the rating in the investment of portfolio for a good profitability but with a higher risk.
Keywords: risk; probability; returns; portfolio with absolute minimum variation (PVMA); frontier of efficiency.
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Contents
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- Validation Techniques of the Intern Models for Credit Risk
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Bogdan Moinescu
- The Financial Crisis between the XXth and XXIst Centuries and the Corporate Governance
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- Romanian Capital Market Analysis in 2006. Perspectives for 2007
Gabriela Victoria Anghelache
- Foundations of Financial Accounting Organization and Cost Calculation using Activity-Based Costing Method in Romanian Textile Industry
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- Budgetary Policy and Seignorage
Liviu-Catalin Moraru
Corina-Ionela Dumitrescu
