Academic literature on the topic 'Markowitz mean-variance theory'
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Journal articles on the topic "Markowitz mean-variance theory"
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Stempien, J. P., and S. H. Chan. "Addressing energy trilemma via the modified Markowitz Mean-Variance Portfolio Optimization theory." Applied Energy 202 (September 2017): 228–37. http://dx.doi.org/10.1016/j.apenergy.2017.05.145.
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Simplício, Jalimar Guimarães, Celso Funcia Lemme, and Ricardo Pereira Câmara Leal. "Portfolio theory in the selection of oil investment projects." Gestão & Produção 19, no. 2 (2012): 265–72. http://dx.doi.org/10.1590/s0104-530x2012000200003.
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The objective of this article is to compare investment project selection using the efficient frontier in the mean-variance space based on optimization models introduced by Markowitz (1952) with the project ranking method according to the profitability index (PI). The selection of real assets by companies did not incorporate the mean-variance optimization procedure in the same way the selection of financial assets in investment portfolios did. The process of selection and formation of portfolios of investment projects for the oil area of a company in the energy industry was analyzed. Project portfolios formed according to the usual company practice of ranking by their PI were compared with those that result from applying mean-variance optimization through Monte Carlo simulation, which allows the computation of mean returns, variances, and covariances for the set of projects considered. The inefficiency of project portfolios obtained by ranking according to the PI compared to those obtained by the method of Markowitz suggests that there are opportunities to improve the process of selecting the set of projects to be implemented by companies.
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Zhang, Peng, and Jing Yi Zhou. "Empirical Research of Portfolio Selection under M-SAD Model." Applied Mechanics and Materials 380-384 (August 2013): 4409–12. http://dx.doi.org/10.4028/www.scientific.net/amm.380-384.4409.
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The mean semi-absolute deviation is the extension and development from the mean-variance theory which proposed by Markowitz. This paper studied the Mean-SAD (semi-variance deviation) model without the short selling and used the Chinese securities markets 20 stocks to test the efficient of the model. We got the conclusion that M-SAD model can effectively direct the decision in portfolio selection. Based on the result of the empirical research, the paper prospects the application of M-SAD model in our country.
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Harzallah, Amen Aissi, and Mouna Boujelbene Abbes. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory." Journal of Interdisciplinary Economics 32, no. 2 (September 17, 2019): 218–36. http://dx.doi.org/10.1177/0260107919848629.
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The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis. JEL: G11, G17, G40
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Vasylieva, Natalia. "Application of Markowitz Portfolio Theory to Producing the World Major Field Crops." Agris on-line Papers in Economics and Informatics 12, no. 4 (December 30, 2020): 123–31. http://dx.doi.org/10.7160/aol.2020.120409.
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Development of growing cereals and oilseeds is a pressing issue for providing global food security and renewable energy. The study deals with applying methods of portfolio theory to mitigate natural and marketing uncertainties emerged from unstable yields and volatile prices for wheat, maize, barley, sunflower, soybeans, and rapeseed. The research outcome based on the utilization of Markowitz mean-variance indicators made possible to evaluate portfolio performances of the world top cereals and oilseeds producers. The study findings at a country level combined econometric forecasting of the crop revenues and modeling optimal portfolios of cereals and oilseeds subject to acceptable trade-offs between risks and expected revenues. The fulfilled calculations with Ukrainian focus clarified farmland allocations under cereal and oilseed crops to underpin biodiversity and keep firm positions in the world markets.
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Nurwahidah, Nurwahidah. "QUADRATIC PROGRAMMING: AN OPTIMIZATION TOOL FOR BUILDING GLOBAL MINIMUM VARIANCE PORTFOLIO WITH NO SHORT SALE." BAREKENG: Jurnal Ilmu Matematika dan Terapan 15, no. 2 (June 1, 2021): 305–14. http://dx.doi.org/10.30598/barekengvol15iss2pp305-314.
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Quantitative method in portfolio selection is a fascinating issue to make a decision in investment. Portfolio optimization is a very important to manage investment risk. There are many papers dealing with the Markowitz portfolio model, but not all of the papers studied about positive weight portfolio or no short sale constrained portfolio. Positive weight portfolio describes that short sale is allowed for the investor. While, short sale is banned in a certain economic condition due to its ability in decreasing stock market index. Besides, Islamic capital market does not allow speculative transaction such as short selling. Hence, portfolio with no short sale constraint is needed. This study aims to build Global Minimum Variance Portfolio (GMVP) with no short sale constraint. The GMVP with positive asset allocation based on Markowitz model can be built by using quadratic programming with interior point method. The main theory applied in this research is Markowitz portfolio optimization model. Mean and variance of stocks closing price are two things that should be considered in this model. The result shows that the positive weight of GMVP includes 0% of ADRO shares; 2, 65% of ANTM shares; 0% of CTRA shares; 30,27% of EXCL shares; 37,21% of ICBP shares; 3,37% of INCO shares; 13,89% of KLBF shares; 0% of PGAS shares; and 12,61% of PTBA shares.
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Guo, Haifeng, BaiQing Sun, Hamid Reza Karimi, Yuanjing Ge, and Weiquan Jin. "Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach." Mathematical Problems in Engineering 2012 (2012): 1–15. http://dx.doi.org/10.1155/2012/628295.
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This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors’ objectives. Finally, investment risk can be decreased when we add investment limit to each stock in the portfolio, which indicates our model is useful in practice.
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Boangmanalu, Andi Ivand Markemo, and Puput Tri Komalasari. "PORTOFOLIO MARKOWITZ: UJI OPTIMAL HOLDING PERIOD DAN KINERJA PORTOFOLIO BERDASARKAN KRITERIA RISIKO DAN TARGET RETURN." Jurnal Manajemen Indonesia 15, no. 2 (April 14, 2017): 115. http://dx.doi.org/10.25124/jmi.v15i2.710.
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The concept of mean-variance optimization, developed by Markowitz, is the cornerstone of modern finance theory. The objective of this portfolio construction is to minimize investment risk by forming optimal portfolios. Dynamic movement in capital markets requires not only changes in portfolio composition. Optimal portfolio is not only determined by the covariance between securities in the portfolio, but also by holding period. The aims of this study is to answer two research questions. The first research question is how long the optimal holding period that was resulted from trade-off between risk and return. This study using target return that are determined hypothetically as well as the risk criteria are divided into 3 namely the mean variance, semivarians and expected loss. Target returns are simulated in this study were divided into 3 criteria namely aggressive, moderate and conservative. The second research question is whether there are differences among the various portfolio performance based on criteria of risk and target return. Portfolio performance is measured by using excess return and the Sharpe index. In this study, stocks covered in LQ-45 index are used to construct efficient portoflio. Monthly price series for company and LQ-45 index for February 2004 to September 2008 are collected. The analysis found that optimal holing period is ranges between 1-5 months. Holding period of a portfolio that more than 5 months will provide risk and return trade-off less favorable. In addition this study found that there was no significant differences in portfolio performance based on overall scenarios
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Lee, Hong Jae, Tae Seog Kim, Kwon Woo Kim, and Sang In Lee. "Asset Allocation Effects of Risk Aversion in Optimal Asset Allocation Using the Mean-Variance Model of Markowitz and Separation Theory of Tobin's Two-Fund." Academic Society of Global Business Administration 15, no. 2 (April 30, 2018): 269–307. http://dx.doi.org/10.38115/asgba.2018.15.2.269.
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Sun, Yen. "Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market." Binus Business Review 1, no. 1 (May 26, 2010): 15. http://dx.doi.org/10.21512/bbr.v1i1.1018.
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It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%). As a result, Indonesia Stock Exchange (IDX) is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor). Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor) since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008). It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver). Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G). Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G) succeeds to predict the portfolio return in the future (5th January – 3rd April 2009). The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory) combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor) show that the portfolio G is a superior portfolio. It is also been found that the composition (weights) stocks of optimum portfolio (G) can be used to predict the forward return (5th January – 3rd April 2009). It is shown that the stock portfolio return of 5th January – 3rd April 2009) has exceeded the market return for the same period of time based on Sharpe and Treynor measurement.
Dissertations / Theses on the topic "Markowitz mean-variance theory"
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Anane, Asomani Kwadwo. "Sustainability for Portfolio Optimization." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-44560.
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The 2007-2008 financial crash and the looming climate change and global warming have heightened interest in sustainable investment. But whether the shift is as a result of the financial crash or a desire to preserve the environment, a sustainable investment might be desirable. However, to maintain this interest and to motivate investors in indulging in sustainability, there is the need to show the possibility of yielding positive returns. The main objective of the thesis is to investigate whether the sustainable investment can lead to higher returns. The thesis focuses primarily on incorporating sustainability into Markowitz portfolio optimization. It looks into the essence of sustainability and its impact on companies by comparing different concepts. The analysis is based on the 30 constituent stocks from the Dow Jones industrial average or simply the Dow. The constituents stocks of the Dow, from 2007-12-31 to 2018-12-31 are investigated. The thesis compares the cumulative return of the Dow with the sustainable stocks in the Dow based on their environmental, social and governance (ESG) rating. The results are then compared with the Dow Jones Industrial Average denoted by the symbol (^DJI) which is considered as the benchmark for my analysis. The constituent stocks are then optimized based on the Markowitz mean-variance framework and a conclusion is drawn from the constituent stocks, ESG, environmental, governance and social asset results. It was realized that the portfolio returns for stocks selected based on their environmental and governance ratings were the highest performers. This could be due to the fact that most investors base their investment selection on the environmental and governance performance of companies and the demand for stocks in that category could have gone up over the period, contributing significantly to their performance.
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Strid, Alexander, and Daniel Liu. "Evaluation of a Portfolio in Dow Jones Industrial Average Optimized by Mean-Variance Analysis." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275662.
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This thesis evaluates the mean-variance analysis framework by comparing the performance of an optimized portfolio consisting of stocks from the Dow Jones Industrial Average to the performance of the Dow Jones Industrial Average index itself. The results show that the optimized portfolio performs better than the corresponding index when evaluated on the period between 2015 and 2019. However, the variance of the returns are high and therefore it is difficult to determine if mean-variance analysis performs better than its corresponding index in the general case. Furthermore, it is shown that individual stocks can still influence the movement of an optimized portfolio significantly, even though the model is supposed to diversify firm-specific risk. Thus, the authors recommend modifying the model by restricting the amount that is allowed to be invested in a single stock, if one wishes to apply mean-variance analysis in reality. To be able to draw further conclusions, more practical research within the subject needs to be done.Denna uppsats utvärderar ramverket ”mean-variance analysis” genom att jämföra prestandan av en optimerad portfölj bestående av aktier från Dow Jones Industrial Average med prestandan av indexet Dow Jones Industrial Average självt. Resultaten visar att att den optimerade portföljen presterar bättre än motsvarande index när de utvärderas på perioden 2015 till 2019. Dock är variansen av avkastningen hög och det är därför svårt att bedöma om mean-variance analysis generellt sett presterar bättre än sitt motsvarande index. Vidare visas det att individuella aktier fortfarande kan påverka den optimerade portföljens rörelser, fastän modellen antas diversifiera företagsspecifik risk. På grund av detta rekommenderar författarna att modifiera modellen genom att begränsa mängden som kan investeras i en individuell aktie, om man önskar att tillämpa mean-variance analysis i verkligheten. För att kunna dra vidare slutsatser så krävs mer praktisk forskning inom området.
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Ferreira, Valéria Andreia Reyes. "Efficient frontier and the optimal risky portfolio : evidence from DAX30 and IBEX35 before and after the financial crisis of 2008." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14502.
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Mestrado em FinançasA Avaliação de carteiras é uma tarefa importante tendo em vista a alocação prudente dos activos, particularmente em períodos de crise. O objectivo desta tese é a determinação da fronteira eficiente e portfólio óptimo para dois países nos períodos pré e pós crise. Os países selecionados são Espanha e Alemanha e os dados foram recolhidos dos dois indices: DAX 30 e IBEX 35. Um índice reflecte o mercado, assim os activos incluídos nos indices serão ponderados , alcançando o investimento perfeito para cada mercado usando a Teoria Moderna do Portfólio, que providencia o fundamento teórico para a construção do Portfólio. Este processo é aplicado num período de cinco anos , antes e depois de 2008 para ambos os indices, permitindo a comparação das duas fronteiras eficientes para os dois períodos. Os dados são recolhidos para o período compreendido entre 2003 e 2012 e a diversificação, correlação e covariância são utilizados para obter os portfólios óptimos através de uma metodologia baseada em optimização numérica e analítica. Da estimação da fronteira eficiente é possível compreender os efeitos da crise em ambos os mercados. Os portfólios ponderados são comparados ao índice de mercado, e com esta segunda análise é possível concluir se a partir da aplicação da Teoria Moderna do Portfólio os investidores obtém retornos maiores do que investindo no índice de mercado.
Stock market portfolio evaluation is an important task regarding a prudent asset allocation particularly in periods of crises. The purpose of this thesis is to compute the efficient frontier and the optimal risky portfolio for two countries in periods included before and after the crisis of 2008. The selected countries are Spain and Germany and data are collected from two indexes: DAX 30 and IBEX 35. An index reflects the market so the stocks included in the indexes will be reweighted at a preplanned schedule, achieving the perfect investment for each country using the modern portfolio theory, which provides a solid theoretical foundation for building portfolios strategies. These processes are applied in five year periods, before and after 2008 for both indexes enabling the comparison of two efficient frontiers for each country. The data inputs are gathered from 2003 to 2012 and diversification, correlation and covariance are used to achieve the optimal risky portfolios through a methodology based in numerical and analytical optimization. From the estimation of the efficient frontiers it is possible to understand the effects the crisis on these two markets. The reweighted portfolios are also compared to the stock index, and with this second analysis it is possible to understand if applying modern portfolio theory, the investor achieves a higher return than investing in an index portfolio.
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Jonsson, Robin. "Optimal Linear Combinations of Portfolios Subject to Estimation Risk." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524.
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The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. A new two-fund rule is developed in a specific class of combined rules, between the equally weighted portfolio and a mean-variance portfolio with the covariance matrix being estimated by linear shrinkage. The study shows that this rule performs well out-of-sample when covariance estimation error and bias are balanced. The rule is performing at least as good as its peer group in this class of combined rules.
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Borrego, Daniel Alexandre Bourdain dos Santos. "Efficient frontier and capital market line on PSI 20." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10462.
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Mestrado em FinançasEste trabalho faz a estimativa da Fronteira Eficiente de Markowitz e da Linha de Mercados de Capital para o mercado bolsista Português, considerando dois diferentes períodos, antes e depois da crise financeira de 2008. Os resultados mostram um forte impacto no GMV portfólio e no portfólio de mercado, com conclusões surpreendentes. A sensibilidade dos resultados perante a dimensão do período é também considerável.
This work estimates the efficient frontier of Markowitz and the capital market line for the Portuguese stock market, considering two different periods, before and after the 2008 financial crisis. The results show the strong impact on the global minimum variance portfolio and the market portfolio, with surprising conclusions. The sensitivity of the results to the period?s length is also considered and remarkable.
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Martins, Inês Andrade. "The efficient frontier and the capital market line : the case of the Swiss stock market index." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14865.
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Mestrado em FinançasA crise dos créditos hipotecários de alto risco, que terá levado os investidores a perderem a sua confiança tanto nos bancos e no mercado como na economia norte-americana, trouxe consequências internacionais em todos os outros índices e mercados. Este projeto tem o objetivo estudar o impacto da crise num dos países mais desenvolvidos da Europa, o caso da Suíça - um país geralmente visto como neutro e quase imune a crises - em particular o estudo visa avaliar as mudanças presentes na bolsa. Assim, primeiramente a análise deste projeto foi dividida em dois períodos temporais de 1 de janeiro de 2001 a 31 de dezembro de 2008 e de 1 de janeiro de 2009 a 31 de dezembro de 2016. Posteriormente, o estudo foca-se em subperíodos mais curtos em torno da crise, com o intuito de analisar mais detalhadamente o seu impacto.
The subprime-crisis, which arguably led investors to lose their confidence in banks, in the market, and in the US economy, had international consequences in all indices and markets. In order to analyze the consequences of a crisis in one of the most developed countries of Europe, this project studies the case of Switzerland ? a country usually perceived as neutral and almost immune to crises - in particular it assesses the changes present in the Stock Market. The analysis is divided into two equal periods of time from January 1, 2001 to December 31, 2008 and from January 1, 2009 to December 31, 2016 firstly, and then the study focuses on shorter sub-periods around the crisis, to analyze the impact in more detail.
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Huni, Sally. "Portfolio optimisation using the Johannesburg Securities Exchange tradable indices : an application of the Markowitz's mean-variance framework." Diss., 2018. http://hdl.handle.net/10500/25289.
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The aim of this study was to assess the feasibility of constructing optimal portfolios using the Johannesburg Securities Exchange tradable sector indices. Three indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period January 2007 to December 2017. The period was split into three, namely before the 2007-2009 global financial crises, during the global financial crises and after the global financial crises. The Markowitz’s mean-variance optimisation framework was employed for the construction of global mean variance portfolios. The results of this study showed that it was feasible to construct mean-variance efficient portfolios using tradable sector indices from the Johannesburg Securities Exchange. It was also established that, on the other hand, global mean variance portfolios constructed in this study, outperformed the benchmark index in a bullish market in terms of the risk-return combinations. On the other hand, in bear markets, the global mean variance portfolios were observed to perform better than the benchmark index in terms of risk. Further, the results of the study showed that portfolios constructed from the three tradable indices yielded diversification benefits despite their positive correlation with each other. The results of the study corroborate the findings by other scholars that the mean-variance optimisation framework is effective in the construction of optimal portfolios using the Johannesburg Securities Exchange. The study also demonstrated that Markowitz’s mean-variance framework could be applied by investors faced with a plethora of investment choices to construct efficient portfolios utilising the Johannesburg Securities Exchange tradable sector indices to achieve returns commensurate with their risk preferences.Business Management
M. Com. (Business Management)
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Alvarez, Lopez Juan. "Risk Minimization in Power System Expansion and Power Pool Electricity Markets." Thesis, 2007. http://hdl.handle.net/10012/3454.
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Centralized power system planning covers time windows that range
from ten to thirty years. Consequently, it is the longest and most
uncertain part of power system economics. One of the challenges that
power system planning faces is the inability to accurately predict
random events; these random events introduce risk in the planning
process. Another challenge stems from the fact that, despite having
a centralized planning scheme, generation plans are set first and
then transmission expansion plans are carried out. This thesis
addresses these problems. A joint model for generation and
transmission expansion for the vertically integrated industry is
proposed. Randomness is considered in demand, equivalent
availability factors of the generators, and transmission capacity
factors of the transmission lines. The system expansion model is
formulated as a two-stage stochastic program with fixed recourse and
probabilistic constraints. The transmission network is included via
a DC approximation. The mean variance Markowitz theory is used as a
risk minimization technique in order to minimize the variance of the
annualized estimated generating cost. This system expansion model is
capable of considering the locations of new generation and
transmission and also of choosing the right mixture of generating
technologies.
The global tendency is to move from regulated power systems to
deregulated power systems. Power pool electricity markets, assuming
that the independent system operator is concerned with the social
cost minimization, face great uncertainties from supply and demand
bids submitted by market participants. In power pool electricity
markets, randomness in the cost and benefit functions through random
demand and supply functions has never been considered before. This
thesis considers as random all the coefficients of the quadratic
cost and benefit functions and uses the mean variance Markowitz
theory to minimize the social cost variance. The impacts that this
risk minimization technique has on nodal prices and on the
elasticities of the supply and demand curves are studied.
All the mathematical models in this thesis are exemplified by the
six-node network proposed by Garver in 1970, by the 21-node network
proposed by the IEEE Reliability Test System Task Force in 1979, and
by the IEEE 57- and 118-node systems.
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Seepi, Thoriso P. J. "Methods of optimizing investment portfolios." 2013. http://hdl.handle.net/11394/3883.
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>Magister Scientiae - MScIn this thesis, we discuss methods for optimising the expected rate of return of a portfolio with minimal risk. As part of the work we look at the Modern Portfolio Theory which tries to maximise the portfolio's expected rate of return for a cer- tain amount of risk. We also use Quadratic Programming to optimise portfolios. Generally it is recognised that portfolios with a high expected return, carry higher risk. The Modern Portfolio Theory assists when choosing portfolios with the lowest possible risk. There is a nite number of assets in a portfolio and we therefore want to allocate them in such a way that we're able to optimise the expected rate of return with minimal risk. We also use the Markowian approach to allocate these assets. The Capital Asset Pricing Model is also used, which will help us to reduce our e cient portfolio to a single portfolio. Furthermore we use the Black-Litterman model to try and optimise our portfolio with a view to understanding the current market conditions, as well as considering how the market will perform in the future. An additional tool we'll use is Value at Risk. This enables us to manage the market risk. To this end, we follow the three basic approaches from Jorion [Value at Risk. USA: McGraw-Hills, 2001]. The Value at Risk tool has become essential in calcu- lating a portfolio's risk over the last decade. It works by monitoring algorithms in order to nd the worst possible scenarios within the portfolio. We perform several numerical experiments in MATLAB and Microsoft Excel and these are presented in the thesis with the relevant descriptions.
Book chapters on the topic "Markowitz mean-variance theory"
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Read, Colin. "Astronomical Roots of Risk Management Measures." In Advances in Business Information Systems and Analytics, 99–115. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-4754-9.ch006.
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The mean-variance approach has remained the de facto method to characterize risk ever since Markowitz' development of Modern Portfolio Theory. This mean-variance underpinning goes back much further, though, to an era before modern street lighting when humankind held a fascination with the cosmos and the movement of the planets. At the same time, physicists and mathematicians were employed to allow gamblers to improve their odds in games of chance. The techniques are now applied to the more down-to-earth challenges of the characterization of risk and optimization of reward. I describe the work of the pioneers who collective gave us the mean-variance tool. This retrospective analysis of the history of risk and financial markets arose from the collective innovations of Daniel Bernoulli, Carl Friedrich Gauss, Louis Bachelier, Jacob Marschak, Harry Markowitz, William Sharpe, Paul Samuelson, and Fischer Black and Myron Scholes. Their contributions helped establish our understanding of the science of risk management.
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Orlović, Zrinka, Zrinka Lovretin Golubić, and Davor Zoričić. "Momentum Investing Across Different Asset Classes." In Recent Applications of Financial Risk Modelling and Portfolio Management, 297–315. IGI Global, 2021. http://dx.doi.org/10.4018/978-1-7998-5083-0.ch015.
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Instead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.