The present paper presents theoretical aspects regarding the model for portfolio selection developed by Markowitz and aspects related to genetic algorithms. Starting from Markowitz’s model, an indicator of the risk-aversion of investors is introduced in the initial model, the new optimization problem being solved with the help of the GA Optimization Tool from Matlab. The results obtained lead t...

In this paper the authors present problems which can appear when a sparse square matrix (without any special structure) is factorized to a product of matrices W and Z. The fill-in problem is considered, and the manners of its solving – by permuting both rows and columns with a modified Markowitz scheme among others. The results of numerical experiments for sparse matrices of various sizes are p...

The stochastic nature of financial markets is a barrier for successful portfolio management. Besides traditional Markowitz’s model, many other portfolio selection models in Bayesian and Non-Bayesian frameworks have been developed. Starting with the basic Markowitz model, several cardinal models are used to find optimum portfolios with select stock set. Having developed the regression model of t...

This paper uses Markowitz's portfolio theory and index model, combined with the five most commonly used constraints in market, to conduct analysis on ten stocks, order provide individual investors a more scientific investment construction method, seeking smallest risk maximum return providing relevant advice.

The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choic...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the end of 2013. The sample period, which incorporates the periods of both the Global Financial Crisis (GF...