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Application of Markowitz Model on Romanian Stock Market

Author

Listed:
  • Zavera Ioana Coralia

    (The Bucharest University of Economic Studies, 6 Piata Romana, 1 District, Bucharest, 010374, Romania)

Abstract

Performance evaluation of financial instruments has become a concern for more and more economists, while security trading activities have developed over time. “Modern portfolio theory” comprises statistical and mathematical models which describe various ways in order to evaluate and especially analyse profitability and risk of these portfolios. This article offers an application of this type of model on Romanian stock market, the Markowitz model, by focusing on portfolios comprising three securities, and determining the efficient frontier and the minimum variance portfolio.

Suggested Citation

  • Zavera Ioana Coralia, 2017. "Application of Markowitz Model on Romanian Stock Market," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 8(1), pages 97-103, April.
    • Handle: RePEc:vrs:hjobpa:v:8:y:2017:i:1:p:97-103:n:8
    DOI: 10.1515/hjbpa-2017-0008
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    References listed on IDEAS

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    1. repec:agr:journl:v:9(598):y:2014:i:9(598):p:7-22 is not listed on IDEAS
    2. Gabriela Victoria ANGHELACHE & Constantin ANGHELACHE, 2014. "Diversifying the risk through portfolio investment," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(9(598)), pages 7-22, September.
    3. LeRoy,Stephen F. & Werner,Jan, 2014. "Principles of Financial Economics," Cambridge Books, Cambridge University Press, number 9781107024120, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    probability; risk; return; minimum variance portfolio; efficient frontier;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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