Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

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...

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 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.

The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm.<br ...

Herein is an incomplete collection of facts about the Sharpe ratio, and the Sharpe ratio of the Markowitz portfolio. Connections between the Sharpe ratio and the t-test, and between the Markowitz portfolio and the Hotelling T 2 statistic are explored. Many classical results for testing means can be easily translated into tests on assets and portfolios. A ‘unified’ framework is described which c...

The Mean-variance framework proposed by Markowitz is the most common model for portfolio selection problem. The most important concept in his theory is diversification. Diversification means designing an investment portfolio that reduces exposure risk by combining a variety of investments. But actually, the portfolios’ weights are often extremely concentrated on few assets when using mean-varia...