Mean-variance-time: An extension of Markowitz's mean-variance portfolio theory

Fahmy, Hany

doi:10.1016/j.jeconbus.2019.105888

Cited by 17 publications

(7 citation statements)

References 21 publications

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“…Its postponement is also consistent with the observed shortterm returns and long-term momentum reversal. This paper adds a time dimension on the theoretical basis of the MV framework, so that the construction of the portfolio can be regarded as an activity, including the return of risky assets and the duration of the portfolio (i.e., the time of the investor's best trading strategy) [9]. After applying the mean-variance method to the average compound return in the fixed-two-asset case, the set of effective portfolios in any one period is inversely proportional to the horizon N, and converges to a single effective series with attractive long-term attributes [10].…”

Section: Literature Reviewmentioning

confidence: 99%

Portfolio Construction Based on Optimization Model and Combination of Various Assets

Li¹

2023

BCPBM

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Since the fifties of the last century, the concept of portfolio management is proposed to enrich the portfolio theory by Markowitz et al., as well as the improvement of portfolio theory by later generations, forming a modern portfolio management theory. This paper uses Markowitz's mean variance portfolio theory to perform a portfolio return maximization analysis on selected assets with assumptions that investors are risk-averse according to mean variance theory. Based on mean variance portfolio theory, as well as Python computational simulation modeling, Monte Carlo simulation is used to find the effective set and effective frontier of the portfolio, and the optimal solution of the portfolio is filtered according to the two constraints of maximum Sharpe ratio and minimum volatility. According to the analysis, the portfolio return of the maximum Sharpe ratio is relatively high, and the maximum Sharpe ratio combination is more worthwhile than the minimum volatility combination. Overall, these results provide enlightenment for further exploration and implementation of portfolio theory.

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Section: Literature Reviewmentioning

confidence: 99%

Portfolio Construction Based on Optimization Model and Combination of Various Assets

Li¹

2023

BCPBM

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“…Because of that, such a portfolio optimization method is often called a mean-variance method. The portfolio is optimal if, under a certain fixed average return, the risk is minimized, or under a certain fixed risk the expected return is maximized (Fahmy, 2020;Markowitz, 1959).…”

Section: Literature Reviewmentioning

confidence: 99%

The possibilities and consequences of investment decisions by stepwise optimization

Neverauskienė

Tvaronavičienė

Rutkauskas

et al. 2021

Economic Research-Ekonomska Istraživanja

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“…Los rendimientos históricos de los activos, el riesgo asociado a cada uno (medido por la varianza de los rendimientos previstos) y la correlación entre cada par de activos se tienen en cuenta a lo largo del proceso de selección de la cartera. Este enfoque según Fahmy, H. (2020) tiene como objetivo identificar la cartera ideal, que distribuye uniformemente el riesgo de cada activo dentro de la cartera para garantizar el rendimiento.…”

Section: Introductionunclassified

Comparación de los modelos de Black-Litterman, Markowitz y CAPM en la estimación de los rendimientos esperados en el mercado de renta variable en Colombia

Ossa González

2023

Rev. Estrateg. Organ.

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Introducción: Este artículo se centra en el estudio y la aplicación del modelo Black Litterman (BL) a seis empresas de la bolsa de valores de Colombia (BVC), se consideran los retornos históricos, las capitalizaciones de mercado y las perspectivas sobre el comportamiento futuro de los activos con el fin de obtener los rendimientos esperados. Metodología: se comparan los resultados de este enfoque con los modelos de Markowitz y el CAMP, el periodo de estudio comprende desde el 28 de febrero de 2018 al 24 de febrero de 2023. La investigación es de tipo cuantitativo, descriptivo y longitudinal, se utiliza la tasa libre de riesgo TFIT16240724 y el índice ICOLCAP como medidas de riesgo del mercado. Resultados: estos fueron evaluados, concluyéndose que el modelo de Markowitz presentó los rendimientos individuales más optimistas y rentables, mientras que los modelos de BL y CAMP presentaron rendimientos esperados muy bajos. Los rendimientos de los portafolios optimizados para los modelos de Markowitz y Black Litterman tienen una percepción similar sobre las tendencias de las acciones, pero difieren en su percepción del riesgo.

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Mean-variance-time: An extension of Markowitz's mean-variance portfolio theory

Cited by 17 publications

References 21 publications

Portfolio Construction Based on Optimization Model and Combination of Various Assets

Portfolio Construction Based on Optimization Model and Combination of Various Assets

The possibilities and consequences of investment decisions by stepwise optimization

Comparación de los modelos de Black-Litterman, Markowitz y CAPM en la estimación de los rendimientos esperados en el mercado de renta variable en Colombia

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