DETERMINANTS OF STOCKS FOR OPTIMAL PORTFOLIO

Syed Zakir Abbas Zaidi*

Pakistan Journal of Applied Economics, 2017, vol. 27, issue 1, 1-27

Abstract: Basically this is an empirical study which aims to test the Markowitz Modern portfolio theory (MPT) or the mean-variance analysis. Fund managers and general investors seek a portfolio that yields maximum return with minimum risk. The problem of investors is dual in nature, as Markowitz showed, i.e., the indifferent choice of risk and return. Though, diversification reduces non-systematic risk but due to limited resources one cannot afford to invest in all stocks, therefore it is pertinent to know that what should be the minimum level of stocks in a portfolio that produces maximum return and minimum risk. The theoretical framework of Markowitz MPT tested by computed 134 months expected the return of thirtytwo stocks, thirty-one variances and 465 co-variances, in order to evaluate efficient portfolio frontier.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.aerc.edu.pk/wp-content/uploads/2017/06/ ... IR-ABBAS-ZAIDI-1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pje:journl:article27sumi

Access Statistics for this article

More articles in Pakistan Journal of Applied Economics from Applied Economics Research Centre Contact information at EDIRC.
Bibliographic data for series maintained by Samina Khalil ( this e-mail address is bad, please contact ).