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Mirza Sikalo, Almira Arnaut-Berilo and Azra Zaimovic
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz?...
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Unbreen Arif,Muhammad Tayyab Sohail
Pág. 243 - 255
The development of asset pricing model is attributed to Markowitz (1952) which initiated towards Modern Portfolio Theory (MPT). The whole concept of MPT based on normality of returns assumption but in emerging economies volatility of returns is an import...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Jelena Z. Stankovic,Evica Petrovic,Ksenija Dencic-Mihajlov
Pág. 017 - 026
Despite its wide use in practice, Modern Portfolio Theory and Markowitz?s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism...
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Kei Nakagawa, Mitsuyoshi Imamura and Kenichi Yoshida
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum...
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