An Application of Portfolio Mean-Variance and Semi-Variance Optimization Techniques: A Case of Fiji

In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk stocks listed South Pacific Stock Exchange, Fiji. We document key market characteristics consider monthly returns data from SEP-2019 to FEB-2022 (T = 30) 17/19 companies stock exchange construct various portfolios like 1/N (naïve), maximum return, minimum-variance with without short-selling constraints. Additionally, compute each stock’s beta using capitalization-weighted price index data. note that well-diversified (market portfolio) constraints have relatively higher expected lower risk. Moreover, perform better than naïve in terms find both yields a unique returns, although latter has standard deviation Sharpe ratio. However, for short selling, risks approach. The low individual indicates sensitivity its movement index. study is an initial attempt provide potential investors some practical strategies tools developing diversified portfolio. Since not all analyses are unique, additional methods investment analysis construction recommended. Subsequently, decisions, our can be complemented in-depth financial statement/company performance analysis.