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The efficiency criterion of Markowitz portfolio theory application in the short-term trading at the Ukrainian Stock Exchange example

期刊名字: Path of Science: International Electronic Scientific Journal (Vol.2, No. 3)

Publication Date:

论文作者 : ; ; ; ; ; ; ; ;

起始页码 : 2.38-2.46

关键字 : criterion of efficiency; profitability; risk; portfolio; Markowitz portfolio theory.;

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论文摘要

The article presents a comparative analysis of the profitability and risk of the two stock portfolios: a portfolio with equal shares of assets and portfolio of assets with shares determined on the basis of Markowitz portfolio theory. The purpose of the research is to identify the effectiveness of the Markowitz portfolio theory for prediction in terms of trade on the Ukrainian Stock Exchange. According to the study results, the efficiency criteria were developed and evaluated. It is proved that the portfolio based on the Markowitz problem solutions presents smaller risk at equal profitability, and in some cases, greater profitability, which makes it more efficient in the process of diversification of the risk portfolio.

更新日期: 2016-04-08 05:02:51