PORTFOLIO OPTIMIZATION USING MARKOWITZ MODEL: AN APPLICATION TO THE BUCHAREST STOCK EXCHANGE

C. Viju, G. Baourakis, A. Migdalas, M. Doumpos and P. M. Pardalos
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C. Viju: Mediterranean Agronomic Institute of Chania, Dept. of Economic Sciences, Management, Marketing and Finance, Greece
G. Baourakis: Mediterranean Agronomic Institute of Chania, Dept. of Economic Sciences, Management, Marketing and Finance, Greece
A. Migdalas: Technical University of Crete, Dept. of Production Engineering & Management, Greece
M. Doumpos: Technical University of Crete, Dept. of Production Engineering & Management, Greece
P. M. Pardalos: University of Florida, Dept. of Industrial & Systems Engineering, USA

Chapter 14 in Supply Chain and Finance, 2004, pp 229-251 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe Bucharest Stock Exchange, with all its economical, social and political problems and sudden ups and downs, is a good reflection of the transition period that emerging economy is currently undergoing. This study focuses on the use of an appropriate methodology for constructing efficient stock portfolios in an extremely unstable market that makes the trade-off between risk and return even more difficult to achieve. The objective is set in order to assess the market behavior: employing the Markowitz model, to construct a set of optimum portfolios under a number of varying constraints and to compare them with the market portfolio. The results obtained are presented in the chapter along with a discussion of the main problems encountered due to the particular features of a stock market in a state of transition.

Keywords: Finance; Supply Chain; E-Commerce; Optimization; Mathematical Modeling; Operations Research (search for similar items in EconPapers)
Date: 2004
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