Performance of the Sharpe Portfolio Selection Model: A Comparison

Portfolio Selection: A Procedure for Revising Ex-Ante Estimates of Portfolio Risk

“…In an applications framework the full and unrestricted covariance approach is laborious, and is in any event outperformed by an alternative computational scheme [6]. Markowitz first suggested, and Sharpe later popularized [12] Thus the expected rate of return and variance for any portfolio p may be written…”

“…Indeed, no matter how effective is one's prior estimation process, the application of a standard Markowitz portfolio efficiency algorithm under conditions of generalized uncertainty is tantamount to an optimal search for precisely this "fortuitous" combination of random estimation errors [6]. A function of random variables is itself a random variable.…”

Markowitz Portfolio Model: Evidence from Dhaka Stock Exchange in Bangladesh

“…Second, the linear assumption of the SIM model does not necessarily hold. [13] Affleck-Graves and Money (1976) concluded that the Markowitz approach produces results which are significantly superior to those obtained using an index model. Thus, in practice, the investor wishing to use a risk-return approach to portfolio selection should strive to apply the basic Markowitz formulation.…”

Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization

“…According to Frankfurter et al [44], such assumptions constrain the range of returns, however, a simpler model for portfolio optimization can be obtained by (10)- (13):…”

“…This model is implemented by Quadratic Programming processes and its objective is to optimize portfolios, taking into consideration the mean vector and the variance-covariance matrix of asset returns. These parameters are estimated from time series and can also be included in the portfolio optimization [28,44].…”