The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the simul...

Despite having become firmly established as one of the major cornerstone principles of modern finance, traditional Markowitz mean-variance analysis has, nevertheless, failed to gain widespread acceptance as a practical tool for equity management. The Markowitz optimization enigma essentially centers on the severe estimation risk associated with the input parameters, as well as the resultant fin...

COVID-19 outbreak impose a major threat on the economy. For such public event, government always take some measure to deal with them, and it will cause great impact market. The paper tries use 20 years of historical daily total return data for ten stocks, which belong in groups three different sectors Internet Technology Industry, financial industry, Consumer goods business, one (S&P 500) i...

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., por...

Harry Markowitz’s mean-variance model for portfolio choice posits a linear relationship between the return of a portfolio and the returns of its component securities. This linear relationship does not hold in an ex post setting when monthly or quarterly returns are used. 1 The Standard Portfolio Selection Model Harry Markowitz begins Mean-Variance Analysis in Portfolio Choice and Capital Market...

The worldwide outbreak of COVID-19 in early 2020 has brought great challenges to global economic development. Against this background, how choose a better portfolio invest becomes problem. purpose the study is find effect on different type portfolios under one benchmark and four constraints by utilizing Markowitz model Index model. This paper selects stock index six stocks from three industries...

Recent empirical studies show that the estimated Markowitz mean-variance portfolios oftentimes perform rather poorly when there are more than several assets in the investment universe. In this article, we argue that such disappointing performance can be largely attributed to the estimation error incurred in sample mean-variance portfolios, and therefore could be improved by utilizing more effic...