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Relevant bibliographies by topics / Markowitz Portfolio Selection

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Academic literature on the topic 'Markowitz Portfolio Selection'

Author: Grafiati

Published: 4 June 2021

Last updated: 6 February 2022

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Journal articles on the topic "Markowitz Portfolio Selection"

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Ghosh, Satadal, and Sujit Kumar Majumdar. "Portfolio Selection Models and Their Discrimination." International Journal of Operations Research and Information Systems 2, no. 2 (2011): 65–91. http://dx.doi.org/10.4018/joris.2011040104.

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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 the return of each stock with the market return, the unsystematic part of the uncertainty was used to find the optimum portfolio and efficient risk–return frontier within each portfolio selection model. T

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Solanki, Dr Ashvinkumar H. "Portfolio Selection Process through Markowitz Model." Indian Journal of Applied Research 4, no. 8 (2011): 356–58. http://dx.doi.org/10.15373/2249555x/august2014/90.

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Nur Safitri, Indah Nur, Sudradjat Sudradjat, and Eman Lesmana. "STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL." International Journal of Quantitative Research and Modeling 1, no. 1 (2020): 47–58. http://dx.doi.org/10.46336/ijqrm.v1i1.6.

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A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. U

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LI, ZHONG-FEI, KAI W. NG, KEN SENG TAN, and HAILIANG YANG. "OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION." International Journal of Theoretical and Applied Finance 09, no. 06 (2006): 951–66. http://dx.doi.org/10.1142/s0219024906003883.

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In this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier.

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Rodrigues, Ana Flávia P., Igor M. Guerreiro, and Charles Casimiro Cavalcante. "Deformed exponentials and portfolio selection." International Journal of Modern Physics C 29, no. 03 (2018): 1850029. http://dx.doi.org/10.1142/s0129183118500298.

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In this paper, we present a method for portfolio selection based on the consideration on deformed exponentials in order to generalize the methods based on the gaussianity of the returns in portfolio, such as the Markowitz model. The proposed method generalizes the idea of optimizing mean-variance and mean-divergence models and allows a more accurate behavior for situations where heavy-tails distributions are necessary to describe the returns in a given time instant, such as those observed in economic crises. Numerical results show the proposed method outperforms the Markowitz portfolio for the

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Mishra, Rohan, and Bhagwat Ram. "Portfolio selection using R." Yugoslav Journal of Operations Research 30, no. 2 (2020): 137–46. http://dx.doi.org/10.2298/yjor181115002m.

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In this paper, we consider the Markowitz mean-variance model to minimize the risk on two assets and develop the program in R software to improve the performance of the model for two real stocks data with various combinations of the portfolios. We have taken two real stocks data up to 4514 each from yahoo database finance using our R program to show how fast our calculations are.

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Kriens, J., and J. Th Lieshout. "Notes on the Markowitz portfolio selection method." Statistica Neerlandica 42, no. 3 (1988): 181–91. http://dx.doi.org/10.1111/j.1467-9574.1988.tb01232.x.

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DE FRANCO, CARMINE, JOHANN NICOLLE, and HUYÊN PHAM. "BAYESIAN LEARNING FOR THE MARKOWITZ PORTFOLIO SELECTION PROBLEM." International Journal of Theoretical and Applied Finance 22, no. 07 (2019): 1950037. http://dx.doi.org/10.1142/s0219024919500377.

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We study the Markowitz portfolio selection problem with unknown drift vector in the multi-dimensional framework. The prior belief on the uncertain expected rate of return is modeled by an arbitrary probability law, and a Bayesian approach from filtering theory is used to learn the posterior distribution about the drift given the observed market data of the assets. The Bayesian Markowitz problem is then embedded into an auxiliary standard control problem that we characterize by a dynamic programming method and prove the existence and uniqueness of a smooth solution to the related semi-linear pa

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Grujić, Miloš. "APPLICATION OF THE MODERN PORTFOLIO THEORY IN DIVERSIFICATION OF THE DEBT SECURITIES PORTFOLIO IN EMERGING MARKETS." ЗБОРНИК РАДОВА ЕКОНОМСКОГ ФАКУЛТЕТА У ИСТОЧНОМ САРАЈЕВУ 1, no. 13 (2017): 67. http://dx.doi.org/10.7251/zrefis1613067g.

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The term "portfolio analysis", introduced in the economic theory by Harry Markowitz, is not a new term in scientific literature. However, analysis and criticism in the papers of local and foreign authors are mainly based on the examples of developed capital markets. There are very few cases of application of the portfolio analysis in the domestic capital market. The focus of this paper is on implementation of diversification of the bonds on the Banja Luka Stock Exchange. Using Markowitz's portfolio selection, we will prove that diversification, including all limitations, is possible and applic

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Puji Lestari, Novi. "Simulation Of Optimal Portfolio Using Single Index Model and Markowitz Model On Lq-45 Index Shares For 2018." JBMP (Jurnal Bisnis, Manajemen dan Perbankan) 7, no. 1 (2021): 93–140. http://dx.doi.org/10.21070/jbmp.v7i1.880.

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The essence of portfolio formation is to reduce risk by means of diversification, namely allocating a number of funds to various investment alternatives that are negatively correlated. To select returns in a portfolio, you can use the Single Index Model and the Markowitz Model. This study was conducted with the aim of comparing the calculation of which company portfolios can provide a good rate of return with a small risk using the Single Index and Markowitz Model based on the sector of the company. So that the results of this study can provide recommendations to investors in decision making o

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Dissertations / Theses on the topic "Markowitz Portfolio Selection"

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Mertens, Detlef. "Portfolio-Optimierung nach Markowitz /." Frankfurt am Main : Bankakademie-Verlag, 2004. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=012908193&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

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Ferreira, Pedro Miguel Barreirão. "Diversification and portfolio selection methods." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2227.

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Mestrado em Finanças<br>This paper studies several portfolio selection methods in order to achieve higher returns and lower risk than the market. The main objective of this paper is to conclude if it is possible to achieve higher returns and lower risk than the market using only daily close stocks price data. It is important however, to know how the number of assets affects the risk of portfolio (benefits of diversification). Therefore, in the early stage, the impact of the introduction of stocks in the portfolio in terms of risk will be analyzed in order to choose a minimum number of stocks t

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Taylor, Fred C. "An Explanation of "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification"." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1422.

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This paper explains the mathematics behind the model for portfolio selection presented by Boyle et al. in their 2012 paper, Keynes Meet Markowitz: The Trade-Off Between Familiarity and Diversification. First, I unpack the theoretical background of portfolio selection, as developed by Harry Markowitz and William Sharpe. Second, I explain the model proposed by Boyle et al. and also connect their work to their theoretical forefathers. Lastly, I replicate some of the results of their paper and comment on the significance of their model.

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Louivion, Simon, and Edward Sikorski. "A Three-Pronged Sustainability-Oriented Markowitz Model : Disruption in the fund selection process?" Thesis, KTH, Skolan för industriell teknik och management (ITM), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-264122.

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Since the term ESG was coined in 2005, the growth of sustainable investments has outpaced the overall asset management industry. A lot of research has been done with regards to the link between sustainability and financial performance, despite the fact that there is a lack of transparency in sustainability of listed companies. This thesis breaks down the word sustainability into two di↵erent categories, and in turn eleven di↵erent parameters. The result is the term Q score which represents a company’s sustainability. The purpose is to increase transparency in the fund selection process for ass

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Lorenz, Nicole. "Portfoliooptimierung im Bereich niedrigen Risikos." Universitätsbibliothek Chemnitz, 2008. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800583.

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In Banken wird zunehmend das Modell von Markowitz zur Portfoliooptimierung als verkaufsförderndes Instrument verwendet. Dieses Modell stellt jedoch lediglich eine theoretische Grundlage zur Portfoliobildung dar, berücksichtigt jedoch keine Transaktionskosten oder Besonderheiten von Kleinanlegern. Es wird in die Thematik der Portfoliooptimierung eingeführt und mit Hilfe praktischer Überlegungen zur Kostenstruktur eine Modellwelt zur Ermittlung des erwartenen (Nutzen des) Endvermögens entwickelt. Dabei wird das Black-Scholes- Modell verwendet um in Simulationen Handlungsempfehlungen unter Berück

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Castro, Lucas Ferreira de. "EstratÃgia de composiÃÃo de carteira Ãtima de fundos de investimento para os regimes prÃprios de previdÃncia social com base na seleÃÃo de portfÃlio de Markowitz." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=13673.

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nÃo hÃ<br>Este trabalho propÃe uma estratÃgia de alocaÃÃo Ãtima dos ativos dos RPPS exclusivamente em fundos de investimentos, respeitando-se os limites impostos pela ResoluÃÃo CMN n.Â 3.922 de 25 de novembro de 2010. Esta pesquisa foi motivada a partir de um cenÃrio com tendÃncia de estagnaÃÃo das taxas de juros (SELIC), frente ao aumento da expectativa de vida dos brasileiros, impondo aos RPPS metas atuarias desafiadoras, que talvez possam nÃo ser cumpridas por gestÃo passiva, alocando os recursos de forma conservadora em renda fixa. TambÃm pretende-se, com este trabalho, apresentar uma alte

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Lima, Junior Melquiades Pereira de. "Modelo de covari?ncia bayesiana para sele??o de protf?lios de investimentos." Universidade Federal do Rio Grande do Norte, 2011. http://repositorio.ufrn.br:8080/jspui/handle/123456789/15024.

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Made available in DSpace on 2014-12-17T14:53:04Z (GMT). No. of bitstreams: 1 MelquiadesPLJ_DISSERT.pdf: 2472393 bytes, checksum: 59503f299bf1a82dcfc59bffce406c09 (MD5) Previous issue date: 2011-12-21<br>The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and param

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Carvalho, Marcelo Dias. "Proposta de um modelo de planejamento agregado da produção numa usina de açúcar e álcool vinculado à flutuação de preços em mercados à vista e no mercado futuro." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/3/3136/tde-08092010-133351/.

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O objetivo de estudo desta dissertação é o desenvolvimento de um modelo de planejamento agregado da produção que apóie as decisões de nível gerencial e de diretoria das usinas de açúcar e álcool no que tange às variedades de cana colhidas em cada semana, às compras de cana-de-açúcar de terceiros, ao tipo de transporte (próprio ou terceirizado) a se utilizar em cada semana, ao total de cana moída por semana para atendimento da demanda e aos processos (industrial e comercial) que se devem escolher para produzir e comercializar açúcar e álcool. As decisões devem ocorrer em função de preços nos me

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Kao, Yu-Zhe, and 高裕哲. "Portfolio Selection Based on C-Vine Pair-Copula Constructionsand Markowitz Mean-Variance Model." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/75874115634150029510.

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碩士<br>國立中央大學<br>統計研究所<br>100<br>How to allocate his/her wealth among di erent investment tools more e ciently for individual investor is an important issue especially in the volatile economic situation. The stock index returns exhibit complex patterns of tail dependence which can be captured by copula models. We apply pair-copula constructions for reducing the load of estimation. Under Markowitz''s mean-variance framework, we construct two portfolios based on two di erent return models: the multivariate normal distribution and the C-vine pair-copula decomposed model. By examining fou

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Book chapters on the topic "Markowitz Portfolio Selection"

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Dhrymes, Phoebus J. "Portfolio Theory: Origins, Markowitz and CAPM Based Selection." In Portfolio Construction, Measurement, and Efficiency. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33976-4_2.

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Lee, Cheng-Few, Joseph E. Finnerty, and Hong-Yi Chen. "Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model." In Handbook of Quantitative Finance and Risk Management. Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77117-5_5.

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Ozenbas, Deniz, Michael S. Pagano, Robert A. Schwartz, and Bruce W. Weber. "Economics and the Equity Market: A Microeconomics Course Application." In Classroom Companion: Business. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74817-3_1.

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AbstractEconomics encompasses two broad subjects: macroeconomics and microeconomics. Macroeconomics deals with an economy in aggregate and addresses issues such as inflation, unemployment, interest rates, and economic growth. We present a macroeconomic perspective in Chap. 10.1007/978-3-030-74817-3_3. Microeconomics, the focus of this chapter, operates, as its name indicates, on the micro level, addressing household consumption decisions and the production decisions of firms. In this chapter, we focus on the parallels (and a few differences) between a standard microeconomics formulation (a household’s selection of an optimal consumption bundle) and a standard finance model (an investor’s selection of a portfolio that optimally combines a riskless asset – cash – and a risky equity portfolio). The finance formulation is the Capital Asset Pricing Model (CAPM). CAPM is a keystone of what is known as modern portfolio theory, the originator of which is Harry Markowitz who was awarded a Nobel Memorial Prize in Economic Sciences in 1990 for having developed the theory of portfolio choice. We then introduce friction (trading costs) and show how CAPM’s frictionless market equilibrium is perturbed. The analysis provides a good lead-in to the next chapter on finance.

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Rattanadamrongaksorn, Tanarat, Jirakom Sirisrisakulchai, and Songsak Sriboonjitta. "Usages of Fuzzy Returns on Markowitz’s Portfolio Selection." In Lecture Notes in Computer Science. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-49046-5_11.

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Duran, Feijoo Colomine, Carlos Cotta, and Antonio J. Fernández. "Evolutionary Optimization for Multiobjective Portfolio Selection under Markowitz’s Model with Application to the Caracas Stock Exchange." In Nature-Inspired Algorithms for Optimisation. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-00267-0_18.

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"Markowitz, Harry Max: Portfolio Selection." In Die 100 wichtigsten Werke der Ökonomie, edited by Dietmar Herz and Veronika Weinberger. Schäffer-Poeschel, 2019. http://dx.doi.org/10.34156/9783791046006-143.

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"Harry Markowitz and Portfolio Selection." In In Pursuit of the Perfect Portfolio. Princeton University Press, 2021. http://dx.doi.org/10.2307/j.ctv1gm03hj.6.

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"Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model." In Security Analysis, Portfolio Management, and Financial Derivatives. WORLD SCIENTIFIC, 2012. http://dx.doi.org/10.1142/9789814343589_0008.

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Lee, Cheng Few. "Utility Theory, Capital Asset Allocation, and Markowitz Portfolio-Selection Model." In Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning. WORLD SCIENTIFIC, 2020. http://dx.doi.org/10.1142/9789811202391_0080.

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Ray, Jhuma, Siddhartha Bhattacharyya, and N. Bhupendro Singh. "Portfolio Optimization and Asset Allocation With Metaheuristics." In Metaheuristic Approaches to Portfolio Optimization. IGI Global, 2019. http://dx.doi.org/10.4018/978-1-5225-8103-1.ch001.

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Portfolio optimization stands to be an issue of finding an optimal allocation of wealth to place within the obtainable assets. Markowitz stated the problem to be structured as dual-objective mean-risk optimization, pointing the best trade-off solutions within a portfolio between risks which is measured by variance and mean. Thus the major intention was nothing else than hunting for optimum distribution of wealth over a specific amount of assets by diminishing risk and maximizing returns of a portfolio. Value-at-risk, expected shortfall, and semi-variance measures prove to be complex for measuring risk, for maximization of skewness, liquidity, dividends by added objective functions, cardinality constraints, quantity constraints, minimum transaction lots, class constraints in real-world constraints all of which are incorporated in modern portfolio selection models, furnish numerous optimization challenges. The emerging portfolio optimization issue turns out to be extremely tough to be handled with exact approaches because it exhibits nonlinearities, discontinuities and high-dimensional, efficient boundaries. Because of these attributes, a number of researchers got motivated in researching the usage of metaheuristics, which stand to be effective measures for finding near optimal solutions for tough optimization issues in an adequate computational time frame. This review report serves as a short note on portfolio optimization field with the usage of Metaheuristics and finally states that how multi-objective metaheuristics prove to be efficient in dealing with portfolio selection problems with complex measures of risk defining non-convex, non-differential objective functions.

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