PORTFOLIO OPTIMIZATION - APPLICATION OF SHARPE MODEL USING LAGRANGE

Vasile Bratian
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Vasile Bratian: Lucian Blaga University of Sibiu

Revista Economica, 2017, vol. 69, issue 5, 8-21

Abstract: This paper presents the model developed by William Sharpe regarding the determination of the structure of the effective securities portfolio and the application of this model on the Romanian capital market. In this respect, the portfolio of shares used in our analysis is a portfolio of shares of the financial investment companies (SIF), listed on the Bucharest Stock Exchange (BVB), and for determining the structure of the efficient portfolio, there is built and minimized a function of type Lagrange. Also, to support practitioners, the paper also presents a series of mathematical demonstrations of variables used in modeling.

Keywords: modern portfolio theory; Sharpe model; lagrangian (search for similar items in EconPapers)
JEL-codes: C02 G11 G17 (search for similar items in EconPapers)
Date: 2017
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