This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014. The sample period, which incor...

Burgen und Schlösser in Deutschland. Hrsg. von Klaus Merten, unter Mitarbeit Uwe Albrecht, Hans-Joachim Giersberg, Irene Markowitz u. Michael Peztet. Aufnahmen Paolo Marton, München (Hirmer) 1995, 574 S., zahlr. Abb.

The portfolio optimization model, initially proposed by Markowitz in 1952 and known as mean-variance model (MV model), is applied to find the optimized allocation among assets to get higher investment return and lower investment risk. However, the MV model did not consider some practical limitations of financial market, including: (1) transaction cost and (2) minimal transaction lots. While the...

The purpose of this study is to determine the composition stocks, amount funding proportion, and optimal portfolio performance formed using Markowitz Model Single Index whether there are differences in established model based on real simulation or test statistics. population stock LQ-45 Group Indonesia Stock Exchange with number selected samples 30 stocks. Sampling done by purposive sampling me...

This paper constructs a minimum-variance portfolio of six agricultural futures. We make full sample analysis as well pre-COVID and COVID examination. Using Markowitz optimisation, we find that soybean futures have the highest share (31%) in because it has lowest variance. Both oil rice second weight portfolio, an amount 24%, variance, whereas has, by far, average correlation with other Soybean ...

Abstract As it is well known there are few “starting points” in portfolio optimization process, i.e. in the stock selection process. Famous Markowitz’ optimization model is unavoidable in this job. On the other side, someone may say that the indicators of the fundamental analysis must be the starting point. Beside that, the suggestions of the technical analysis must be taken into consideration....