Theoretical and Applied Economics
No. 6 / 2006 (501)
Synthetic Analysis about Single-Criterion and Multi-Criterion Financial Assets Portfolio
Universitatea „Valahia” Târgoviste
Abstract. This paper as a synthetic analyzis based on the Markowitz and Sharpe models deals with the problem of portfolio trying to determine both the optimum proportion of titles and the influence of a considered macroeconomic factor over their level of efficiency and risk. The improvement of these models was made through the introduction of a new model, the APT model (Arbitrage Price Theory), as a development of the uni-factorial CAPM model, in other words, the above-mentioned model only constitutes a particular form of the APT model trying to establish a relationship between the individual efficiency of a title from the portfolio and several macroeconomic factors. Also, this model involves the identification of macroeconomic factors influencing the profitability of the titles and the determination of the influence of these factors individually, through the application of the APT model.
Keywords: systematic risk; capital market line; security market lines; correlation coefficient; volatility; position coefficient; macroeconomic factor; risk-free asset.
Contents
- Synthetic Analysis about Single-Criterion and Multi-Criterion Financial Assets Portfolio
Leonardo Badea
-
About Knowledge Society Pillars in Romania
Ion Gh. Rosca
- Adjusting Shocks
Management in Euro Zone. The Asymmetrical Impact
of the ECB Monetary Policy
Marius-Corneliu Marinas
-
Banking Activity for Sustainable Development
Alexandra Eremia
Ion Stancu
- Engineering and Re-engineering Model of the Proceses for Implementing Quality Management System in Small and Medium Enterprises
Ion Ionita
Cosmin Dobrin
Mihai Mieila
- Economics of Corruption. The Equilibrium, Political and Social Determinations
Ani Matei
Lucica Matei
- Controversies Regarding Goodwill Evaluation, Depreciation and Recording Policies
Niculae Feleaga
Liliana Feleaga
-
TRIPs Agreement, Important Multilateral WTO Treaty
Oana-Maria Florescu
-
Cultural Impacts in Managerial Accounting
Flavius Guinea
- Some
Aspects Regarding Banking Risk Management
Lavinia Vasile
- Human Development – Qualitative Dimensions
of a Globalized World
Petru Stefea
Marilen Pirtea
- Trends in Banking System Globalization
Emanuela Mihaela Savu
-
Migration Process Evolution in Europe
Carmen Tudorache