A MODEL OF CONSTRUCTION OF A MINIMUM RISK PORTFOLIO BASED ON MARKOWITZ PORTFOLIO THEORY. APPLICATION ON BUCHAREST STOCK EXCHANGE

Carmen Corduneanu and Assist. Laura Raisa Miloș Ph. D
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Assist. Laura Raisa Miloș Ph. D: “Eftimie Murgu” University Reșița Faculty of Economic and Administrative Sciences Reșița, Romania

Annals of University of Craiova - Economic Sciences Series, 2010, vol. 2, issue 38, 8

Abstract: In this paper, the authors test a model of an efficient portfolio with minimum risk, starting from the analysis of one year portfolio payoff and risk of ten securities from Bucharest Stock Exchange. In accordance with the modern portfolio theory, maximization of returns at minimal risk should be the main objective of every investor. We show, using a mathematical methodology based on Markowitz portfolio theory and on Lagrange function, which is the exact amount of stocks to be purchased from a Bucharest Stock Exchange sample of securities in order to have an efficient portfolio with minimum risk at a given return.

Keywords: efficient portfolio; risk; return; Markowitz portfolio theory; Bucharest Stock Exchange (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:aio:aucsse:v:2:y:2010:i:8:p:204-211

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