Work

Explicit formulas for an effective stocks portfolio in the Markowitz’s standard model

Year: 2024

Type: article

Abstract: The article provides explicit formulas for the parameters of an effective stock portfolio obtained based on Markowitz’s theory, including for the Tobin’s Model. An empirical test was performed and confirmed the correctness of the obtained formulas. They can be useful in theoretical studies related to effective securities portfolios, as well as in the development of computer programs for analysing investments and the stock market.

Source: Vestnik NSUEM

DOI: 10.34020/2073-6495-2024-3-107-120

Authors: D. B. Zotyev, V. E. Sokolov

Institution: Novosibirsk State University of Economics and Management

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

OpenAlex ID: W4403518926

FWCI:

Cites: 1

Cited by:

Related to: 10