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 ...

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...

Im Zuge der Finanzkrise wurde deutlich, dass das Risiko in klassischen Modellen zur Portfoliotheorie deutlich unterschätzt wurde. Die Instabilität der relevanten Risikoparameter, also Korrelationen und Volatilitäten, führte dazu, dass Diversifikationseffekte überund somit Risiken unterschätzt wurden. Ziel dieses Beitrags ist es, Diversifikationseffekte in verschiedenen Marktphasen des letzten J...

The mean-variance formulation by Markowitz in 1956 and its efficient solution by Wolfe in 1959 paved a foundation for modern portfolio selection. In this work we start reviewing basic concepts about portfolio selection, showing one starting solution and then the mean-variance analysis proposed by Markowitz. We show an algorithm for efficient frontier derivation, proposed by Wolfe, and analyze t...

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...

Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized expressions for mean and variance-covariance matrix involving moments of the random exit time in addition to the conditional moments of asset returns. While efficient frontiers in the generalized and t...

iii Evidence for the benefits of international over domestic portfolio diversification is still mixed. In part, this may be due to different methodologies employed. There has recently been a resurgence of interest in Markowitz allocation methods in preference to alternatives such as index models. Accordingly, this paper examines international portfolio optimisation using the full Markowitz meth...