The Markowitz frontier of optimal portfolios is valid in both mean–variance space and mean–standard deviation space. There are, however, some curious differences because lines one become curves the other. This article explores explains curiosity. Key Findings ▪ capital allocation line a curve that connects riskless rate with tangency portfolio, but it not line. Volatility can be either s...

Markowitz (1952, 1959) first proposed a well-known mean-variance analysis for optimizing portfolio diversification that has been long served as a foundation of modern finance. The risk diversification was formulated by a quadratic optimization model. Unfortunately, the quadratic optimization had a computational difficulty in dealing with a large number of asset allocations. To enhance the comp...

It is important to investigate the different impact factors on establishment of investment portfolio. In order maximize profit a portfolio, this research selects six stocks: Adobe (ADBE), International Business Machines Corp (IBM), Bank America Corporation (BAC), Citigroup (C), Southwest Airlines Co (LUV) and Alaska Air Group Inc. (ALK) as an empirical case conduct decision. This compares resul...

Here we study the performance of a one-period investment X0 > 0 (dollars) shared among several different assets. Our criterion for measuring performance will be the mean and variance of its rate of return; the variance being viewed as measuring the risk involved. Among other things we will see that the variance of an investment can be reduced simply by diversifying, that is, by sharing the X0 a...

The appearance of Markowitz Model significantly improves the way investors optimize their financial portfolio, allowing them to reduce collective risks different assets and further maximize profitability portfolio. This article aims discuss analyze feasibility in practical cases as definition this mean variance model leans theoretical aspect finance like efficient market rational investors. dat...

in this paper after a general literature review on the concept of efficient frontier (ef), an important inadequacy of the variance based models for deriving efs and the high necessity for applying another risk measure is exemplified. in this regard for this study the risk measure of lower partial moment of the first order is decided to replace variance. because of the particular shape of the pr...

The focus of this papere is to present an intuitive enduser Decision Support System (DSS) for portfolio selection based on Mean-Variance (M-V) Model of portfolio selection by Markowitz [1952, 1991]. The DSS utilizes a Goal Linear Programming (GLP) model for fulfiling the investor’s objectives and preferences in terms rate of return, risk and asset allocation and diversification in order to reac...

To reduce risk in investment and at the same time optimize returns, it is necessary to establish a series of stocks that have high as well asto select stock with negative variance risk. In this research, an efficient frontier approach by Harry Markowitz will be applied JII shares during period 2009 - 2019 so portfolio low optimal return can formed return.

With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...