Portfolio selection based on predictive joint return distribution

Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Xi; Liu, Yezheng

doi:10.1080/00036846.2018.1494812

Cited by 6 publications

(1 citation statement)

References 33 publications

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“…Effective combination proposed by Markowitz is significantly stronger than random combinations, allowing investors to take small risks and gain as much as possible, which can be assessed using coefficient of variation. If Markowitz's effective combination has a coefficient of variation that exceeds the random weights, it means that under the established risk, the profitability that Markowitz proposed for the effective combination exceeds that of the random weights [11].…”

Section: Resultsmentioning

confidence: 99%

Application of Markowitz's Portfolio Theory in Obtaining the Best Portfolio in the Stock Market

Chao¹,

Tao²,

Zeng³

2019

Proceedings of the First International Symposium on Management and Social Sciences (ISMSS 2019)

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The article mainly explores the mean-variance model proposed by Markowitz, and then applies it to the concept of contemporary securities investment. Investors can find the historical average weekly interest rate and covariance matrix of each stock in the A-share market, use Markowitz's investment concept model, and then use mathematics such as Matlab to calculate the collection of portfolio. After the study we find that Markowitz proposed portfolio concept has a specific using value in the domestic A-share market, but in practice it also has some shortcomings.

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Section: Resultsmentioning

confidence: 99%