Application of Markowitz Model on Romanian Stock Market

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

HOLISTICA – Journal of Business and Public Administration, 2017, vol. 8, issue 1, 97-103

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.

Keywords: probability; risk; return; minimum variance portfolio; efficient frontier (search for similar items in EconPapers)
JEL-codes: F3 G1 G2 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:hjobpa:v:8:y:2017:i:1:p:97-103:n:8

DOI: 10.1515/hjbpa-2017-0008

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