This article selects 10 companies in the financial sector, energy sector and consumption as well SPX500 index. paper uses two models, not only Markowitz model but also index model, to calculate correlation coefficient matrix, minimum variance, maximum Sharpe ratio, capital allocation line so on analyze return rate volatility of specific companies. Four limitations were calculated for Index resp...

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a Black-Scholes setting we obtain closed form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price proce...

The epidemic occurred in 2019 made a great difference the global financial markets. To explore impact on stock market, this paper builds special portfolios under four specific constraints by using Markowitz and index model. This selected prices of 11 stocks different industries for 20 years then focused two vital indicators to analysis change risk return. One is minimum variance, other maximum ...

This paper mainly uses Markowitz asset portfolio model to demonstrate the impact of different market rules (allowing and not allowing short selling) on investment returns risks, gives suggestions through this model, judges difference risks under conditions. In 10 companies known four industry premise nearly 20 years stock data, using data behalf medium long term monthly Excel Solver econometric...

This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999), and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952). Based on the Monte Carlo simulation, data (samples) generation process determines the algorithms by using both, parametric and nonpar...

The Kelly framework is the natural multi-period extension of one-period mean-variance model Markowitz in sense that efficient frontier characterized by trading strategies having maximal instantaneous Sharpe ratio. We show traders naturally trade such a way as to induce an equilibrium for covariance matrix. This equilibrium, arising from alone, has property correlation can be described saddle po...

The problem of singularity the variance-covariance matrix and its impact on sensitivity Markowitz portfolio optimization has been extensively studied in literature when underlying model does not include jump terms. In this paper, we first use a jump-diffusion multivariate Merton to evaluate apply principal component analysis (PCA) for dimensionality reduction as solution matrix. Finally, provid...

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

This paper generalizes the traditional Mean-Variance method in portfolio analysis when asset returns are assumed to be jointly stable. An-stable eecient frontier is computed and compared to the classical Gaussian one. The eecient frontier computed from this analysis model dominates the one deened in terms of the Markowitz portfolio selection model criterion. Choix optimal de portefeuille dans u...