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Practical aspects of portfolio selection and optimisation on the capital market

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  • Florin Turcas
  • Florin Dumiter
  • Petre Brezeanu
  • Pavel Farcas
  • Sorina Coroiu

Abstract

This article highlights some observations concerning the deficiencies in the application of statistics on the capital market, with special reference to Modern Portfolio Theory (MPT). The main point is the sensitivity of statistical parameters (especially the standard deviation of the daily rates of return) to subjective/random factors. For securities with similar patterns and quasi-identical charts, statistical results in contradiction to the evidence of the market can be obtained. This article makes a pledge in favour of the necessity for increased attention in constructing an optimal/efficient portfolio.

Suggested Citation

  • Florin Turcas & Florin Dumiter & Petre Brezeanu & Pavel Farcas & Sorina Coroiu, 2017. "Practical aspects of portfolio selection and optimisation on the capital market," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 30(1), pages 14-30, January.
    • Handle: RePEc:taf:reroxx:v:30:y:2017:i:1:p:14-30
    DOI: 10.1080/1331677X.2016.1265893
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    Cited by:

    1. Xing Yang & Jun-long Mi & Yue Zeng & Wen-bo Wei, 2023. "Bilinear Integrable soliton solutions and carbon emission rights pricing," International Journal of Low-Carbon Technologies, Oxford University Press, vol. 18, pages 131-143.

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