Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. Using grey Markowitz efficiency frontier’s investment portfolio models, we establish a more stable and correct connection between ex-ante model and ex-...

Academics and practitioners optimize portfolios using the mean-variance approach far more often than the meansemivariance approach, despite the fact that semivariance is often considered a more plausible measure of risk than variance. The popularity of the mean-variance approach follows in part from the fact that mean-variance problems have well-known closed-form solutions, whereas meansemivari...

We study rankings of completely and partially diversified portfolios and also of specialized assets when investors follow so-called Markowitz preferences. It turns out that diversification strategies for Markowitz investors are more complex than in the case of risk-averse and risk-inclined investors, whose investment strategies have been extensively investigated in the literature. In particular...