THE OPTIMIZATION OF THE STRUCTURE OF FINANCIAL ASSETS PORTFOLIO. CASE STUDY: THE MANUFACTURING INDUSTRY IN ROMANIA

Apply

THE OPTIMIZATION OF THE STRUCTURE OF FINANCIAL ASSETS PORTFOLIO. CASE STUDY: THE MANUFACTURING INDUSTRY IN ROMANIA

Journal Title: Фінанси України - Year 2017, Vol 2, Issue 255

Abstract

The objective of this paper is to apply the Markowitz model to a financial assets portfolio in order to identify the optimal portfolio of risky assets. The case study is based on 33 companies of the manufacturing industry in Romania, listed on the Bucharest Stock Exchange, at the first and second category. The research was conducted over the period of 6 months, based on the weekly closing prices of the titles. In order to determine the structure of the efficient portfolio, we used several scenarios regarding the portfolio expected return, i.e. the return that we supppose that we will obtain from the portfolio. We identified the optimal portfolio of risky assets, that offers a maximum expected return for the risk that investors are willing to assume. Also, we determined the X matrices, that represent the percentage that will be invested in each company in order to obtain the expected return, and the portfolio with minimum absolute variance. After applying the Markowitz model, we obtained an illegitimate portfolio. Therefore, it is necessary to sell some of the securities in absence, the procedure of which is not regulated by the Romanian capital market.

Authors and Affiliations

Nicolae BALTES, Alexandra-Gabriela-Maria Dragoe

Keywords

portfolio with absolute minimum variance; efficient portfolio; risk; rentability; efficient frontier; variance-covariance matrix; portfolio selection.

EP ID EP529169
DOI -
Views 113
Downloads 0