SUMMER 1999 M any different investment objectives and criteria have been suggested for choosing investment strategies. In a static setting, Markowitz [1952] suggests the meanvariance approach. Economic theory more formally postulates that an individual investor would choose an investment strategy to maximize expected utility of wealth and or consumption. In other settings, other criteria might ...

Traditional portfolio optimization has been often criticized since it does not account for estimation risk. Theoretical considerations indicate that estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. This is also demonstrated by several numerical studies. The global minimum variance portfolio has been a...

We consider a model of a fishery in which the dynamic of the unharvested fish population is given by the stochastic logistic growth equation dx(t) = [κx(t) (θ − x(t))] dt+ σx(t)dW (t). Similar as in the classical deterministic analogon, we assume that the fishery harvests the fish population following a constant effort strategy. In a first step we derive the effort level that leads to maximum e...

The asymptotic distribution of the Markowitz portfolio, Σ̂μ̂, is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect, one can estimate the proportion of error in the Markowitz portfolio du...

The SharpeR package provides basic functionality for testing significance of the Sharpe ratio of a series of returns, and of the Markowitz portfolio on a number of possibly correlated assets.[15] The goal of the package is to make it simple to estimate profitability (in terms of riskadjusted returns) of strategies or asset streams. 1 The Sharpe ratio and Optimal Sharpe ratio Sharpe defined the ...

Penelitian ini bertujuan untuk mengetahui model Markowitz pada saham Indeks LQ45, sehingga diperoleh komposisi yang dapat dijadikan pilihan investasi atau membentuk portofolio. Populasi penelitian adalah seluruh saham-saham emiten perusahaan go public pernah masuk dalam LQ45 di Bursa Efek Indonesia periode Februari 2017-Januari 2021 sebanyak 66 dan sampel 65 dipilih berdasarkan teknik nonprobab...

The mean-variance (MV) portfolio is typically formulated as a quadratic programming (QP) problem that linearly combines the conflicting objectives of minimizing risk and maximizing expected return through aversion profile parameter. In this formulation, two are expressed in different units, an issue could definitely hamper obtaining more competitive set weights. For example, modification scale ...

The study here focuses on portfolio construction of mid cap companies, its optimization and throws up some important topics for further research. Issues discussed include the key inputs necessary to perform optimization, Markowitz Model, Single Index Model methods evaluation overvaluation undervaluation securities.