Application of Markowitz model in analysing risk and return a case study of BSE stock

Pandey, Manas

doi:10.22495/rgcv2i1art1

Cited by 9 publications

(6 citation statements)

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The paper incorporated a rational portfolio selection criteria as well as benchmarking. Pandey (2012) worked on optimal Portfolio formation, using real data, subject to different constraint sets. The concept of efficient Portfolio formed the basis for decision making.…”

Section: Introductionmentioning

confidence: 99%

Multiobjective Optimization of Investments of two Businesses in Ghana

Akanyare¹,

Twum²

2022

IJSMR

View full text Add to dashboard Cite

Portfolio optimization is a major concern of individuals and businesses across the world for sustainable financial and economic management of their funds. This work, as a first part of a portfolio optimization study of two selected businesses in Ghana, is aimed at optimizing separately the investments of the two businesses, to maximize their returns and minimize their risks under their operational constraints. The problems, being multi-objective in character, were modeled with the expected returns on their investments and the variances/standard deviations of the returns over fixed periods of time as the objective functions. To ensure dimensional uniformity, the objective functions were normalized and the Weighted Sum scalarization method employed in MATLAB to find Pareto optimal solutions of the models, using data from the two businesses. The results reveal that weight variations do not necessarily lead to many varied or diversified Pareto optimal solutions. The three distinct Pareto optimal solutions obtained for one of the businesses, however, suggest that the business could make respectively about 104.45M, 15.70M, and 15.72M Ghana Cedis returns on its investments with risk to return margins of 0.225%, 1.77%, and 1.76% respectively. The other business with only two distinct Pareto optimal solutions could make 14.67M or 30.36M Ghana Cedis returns with corresponding risk to return margins of 0.016% and 0.017% respectively. It is recommended therefore that the businesses could select the solution with the least risk to return margins for implementation. A second part of the work, which will be reported in another paper, would investigate the models under post-optimality analysis and the prospects for a joint investment by the two businesses.

show abstract

Section: Introductionmentioning

confidence: 99%

Multiobjective Optimization of Investments of two Businesses in Ghana

Akanyare¹,

Twum²

2022

IJSMR

View full text Add to dashboard Cite

show abstract

“…The Full Markowitz Model is applied very widely to provide optimal portfolios for investors. For instance, Manas Pandey [1] attempted "the optimal portfolio formation using real-life data subject to two different constraint sets" and "the Markowitz portfolio selections were obtained by solving the portfolio optimization problems for periods from April 2009 to March 2010." He further stated that "the final portfolio selection for an investor/trader requires the combination of portfolio analysis and financial planning [1]".…”

Section: Introductionmentioning

confidence: 99%

“…For instance, Manas Pandey [1] attempted "the optimal portfolio formation using real-life data subject to two different constraint sets" and "the Markowitz portfolio selections were obtained by solving the portfolio optimization problems for periods from April 2009 to March 2010." He further stated that "the final portfolio selection for an investor/trader requires the combination of portfolio analysis and financial planning [1]". Similarly, Mokta Rani Sarker [2] "construct an optimal portfolio by using Markowitz model" and "the optimum portfolio consists of twenty stocks selected out of 164 stocks, giving the return of 6.48%".…”

Section: Introductionmentioning

confidence: 99%

The application of the Full Markowitz Model in generating optimal investment portfolio

2022

2022 2nd International Conference on Management Science and Industrial Economy Development (MSIED 2022)

View full text Add to dashboard Cite

In this paper, the Full Markowitz Model will be used to compare different investment portfolios and make suggestions for investors on their investment decision-making process. By doing so, investors can have an overall view of the return and risks of their potential investments, and minimize risks or maximize return by choosing the optimal portfolio. To be more specific, in terms of minimizing risks, investing TD for 19.74%, PG for 28.52%, JNJ for 20.77%, and CL for 21% is the optimal portfolio. It has a return of 10.31%, a standard deviation of 11.25%, and a sharp ratio of 0.92. To maximize return, the weights of the optimal portfolio for Nividia Corporation, Cisco

show abstract

“…For any rational investor, they all want to reduce risk and maximize return in the investment. Thus, Markowitz Model is being applied, which can find the efficient frontier and help to find the highest return under a specified level of risk [4]. Dr. Harry Markowitz creates this model, and he presents the methodology of portfolio selections.…”

Section: Introductionmentioning

confidence: 99%

The Efficiency between Markowitz Model and Single Index Model

Cai¹,

Long²

2022

BCPBM

View full text Add to dashboard Cite

It is important to investigate the different impact factors on the establishment of investment portfolio. In order to maximize the profit of a portfolio, this research selects six stocks: Adobe (ADBE), International Business Machines Corp (IBM), Bank of America Corporation (BAC), Citigroup (C), Southwest Airlines Co (LUV) and Alaska Air Group Inc. (ALK) as an empirical case to conduct investment decision. This research compares different results of two models (Markowitz model and Index Model) by analyzing the data of the portfolio such as minimum risk portfolio and maximum Sharpe Ratio portfolio. This research finds that the Markowitz Model is more appropriate to the portfolio establishment, which is presented by its sharper efficient frontier. Under all the conditions the study considered, the Markowitz Model always gets more returns than the Index Model when the risk increases by the same amount. Therefore, this research concludes that the Markowitz Model is more suitable for this portfolio. By analyzing the portfolio in two models, the study has found a better model for this portfolio, thus make more rational investments.

show abstract

Application of Markowitz model in analysing risk and return a case study of BSE stock

Cited by 9 publications

References 11 publications

Multiobjective Optimization of Investments of two Businesses in Ghana

Multiobjective Optimization of Investments of two Businesses in Ghana

The application of the Full Markowitz Model in generating optimal investment portfolio

The Efficiency between Markowitz Model and Single Index Model

Contact Info

Product

Resources

About