 Tools and Techniques for Economic Decision AnalysisMartin Sirucek () and Lukáš Křen MPRA Paper from University Library of Munich, Germany Abstract: This paper is focused on building investment portfolios by using the Markowitz Portfo-lio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor's portfolio. Keywords: Markowitz Portfolio Theory; Modern Portfolio Theory; Capital Asset Pricing Model; CAPM; diversification; stock portfolio (search for similar items in EconPapers) Published in Tools and techniques for economic decision analysis 1.1(2016): pp. 25-43 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:77516 Access Statistics for this paper More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC. |
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