899 research outputs found
Markowitz model with constraints
No full textTitle: Markowitz model with constrains Author: Jan Němec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Abstract: Composition of an optimal portfolio from available tradable comodities is very frequntly a discussed issue. One model, which considers not only the yield of the portfolio, but also its risk, is Markowitz model. Bachelor thesis will consider this ap- proach in cases when the searched portfolio is bounded with additional restrictions. This thesis will primarily address the constraints that are determined by legislation to conduct various banking entities investing in the stock market. Keywords: Markowitz model, portfolio constraints, banking regulation
Minimização do risco em carteira: aplicação da moderna teoria do portfólio
No full textTCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.O elevado nível de oscilação no preço dos ativos no mercado acionário, ocasionado por expectativas dos agentes econômicos resulta em alto risco para os investidores, uma vez que tal comportamento torna-se imprevisível na presença de choques econômicos. Nesse sentido, os investidores procuram ao máximo inibir o componente aleatório dos preços dos ativos financeiros, por meio de um processo de diversificação de ativos. Dentre as metodologias existentes para a minimização do risco estão a de Markowitz e Sharpe. A metodologia de Markowitz é caracterizada pela otimização do trade-off entre risco e retorno, e permite delinear uma fronteira eficiente de portfólios, no qual se identifica as melhores composições de ativos para cada nível de risco assumido. Enquanto isso, o método de Sharpe, mais conhecido como CAPM, complementa a base da teoria moderna do portfólio. Dessa forma, o objetivo do presente estudo é utilizar uma metodologia de otimização de portfólio capaz de minimizar o risco e identificar seu maior retorno médio para cada nível de risco assumido. A partir da inclusão de um ativo livre de risco à fronteira eficiente de Markowitz, é possível determinar seu retorno exigido para os ativos. Conclui-se que a aplicação dos métodos à um caso real, por meio da utilização do software MatLab, apresentou-se eficaz, uma vez que foi possível identificar a minimização do risco mediante o procedimento de diversificação de ativos e a composição ideal para o alcance do ponto máximo do índice Sharpe
Unwitting Markowitz’ Simplification of Portfolio Random Returns
No full textIn his famous paper, Markowitz (1952) derived the dependence of portfolio random returns on the random returns of its securities. This result allowed Markowitz to obtain his famous expression for portfolio variance. We show that Markowitz’s equation for portfolio random returns and the expression for portfolio variance, which results from it, describe a simplified approximation of the real markets when the volumes of all consecutive trades with the securities are assumed to be constant during the averaging interval. To show this, we consider the investor who doesn’t trade shares of securities of his portfolio. The investor only observes the trades made in the market with his securities and derives the time series that model the trades with his portfolio as with a single security. These time series describe the portfolio return and variance in exactly the same way as the time series of trades with securities describe their returns and variances. The portfolio time series reveal the dependence of portfolio random returns on the random returns of securities and on the ratio of the random volumes of trades with the securities to the random volumes of trades with the portfolio. If we assume that all volumes of the consecutive trades with securities are constant, obtain Markowitz’s equation for the portfolio’s random returns. The market-based variance of the portfolio accounts for the effects of random fluctuations of the volumes of the consecutive trades. The use of Markowitz variance may give significantly higher or lower estimates than market-based portfolio variance
Markowitz Variance May Vastly Undervalue or Overestimate Portfolio Variance and Risks
No full textWe consider the investor who doesn’t trade shares of his portfolio. The investor only observes the current trades made in the market with his securities to estimate the current return, variance, and risks of his unchanged portfolio. We show how the time series of consecutive trades made in the market with the securities of the portfolio can determine the time series that model the trades with the portfolio as with a single security. That establishes the equal description of the market-based variance of the securities and of the portfolio composed of these securities that account for the fluctuations of the volumes of the consecutive trades. We show that Markowitz’s (1952) variance describes only the approximation when all volumes of the consecutive trades with securities are assumed constant. The market-based variance depends on the coefficient of variation of fluctuations of volumes of trades. To emphasize this dependence and to estimate possible deviation from Markowitz variance, we derive the Taylor series of the market-based variance up to the 2nd term by the coefficient of variation, taking Markowitz variance as a zero approximation. We consider three limiting cases with low and high fluctuations of the portfolio returns, and with a zero covariance of trade values and volumes and show that the impact of the coefficient of variation of trade volume fluctuations can cause Markowitz’s assessment to highly undervalue or overestimate the market-based variance of the portfolio. Incorrect assessments of the variances of securities and of the portfolio cause wrong risk estimates, disturb optimal portfolio selection, and result in unexpected losses. The major investors, portfolio managers, and developers of macroeconomic models like BlackRock, JP Morgan, and the U.S. Fed should use market-based variance to adjust their predictions to the randomness of market trades
The exercise and mood relation: testing the dual-mode model and self-selected speeds
No full textEvidence indicates that exercise improves mood, but not enough is known about the level of exertion required for optimum mood benefit. The present study examined the nature of the relation between exertion level and mood improvement in the theoretical context of the dual-mode hypothesis and opponent-process theory by testing mood changes in highly active and sedentary college-age participants in both assigned and self-selected conditions. As expected, exercise produced in-task arousal, and post-task mood improvement. As predicted by the dual-mode hypothesis and opponent-process theory, at low levels of exertion, in-task and post-task mood improvement was observed, and at high levels of exertion, in-task mood worsened, but post-task mood improved. Participants chose speeds close to 5% below lactate threshold. Theoretical and practical implications of these findings are discussed.Ph.D.Includes abstractVitaIncludes bibliographical referencesby Sarah Melinda Markowit
Markowitz investment portfolio creation and analysis
No full textInvestēšana akcijās ir ļoti sena un pazīstama investēšanas stratēģija un šī darba ietvaros tiek parādīts, kura investēšanas stratēģija veidojot efektīvu Markovica portfeli nodrošina vislabāko riska un ienesīguma attiecību. Maģistra darba mērķis ir, balstoties uz zinātniskās literatūras un uzņēmumu akcijas analīzi, izveidot trīs diversificētus un efektīvus akciju portfeļus pēc Markovica investīciju portfeļa stratēģijas (B. Grema, Dž. Piotroski un Dž. Grīnblata) un noteikt labāko portfeli pēc riska un ienesīguma attiecības. Darba autors veica B. Grema, Dž. Piotroski un Dž. Grīnblata stratēģiju izpēti un pēc tās atlasīja akcijas ieguldījumu portfelī. Analizējot katru stratēģiju un izvērtējot tās, tika izdarīts secinājums, ka Dž. Piotroski stratēģijai bija vispievilcīgākā riska-ienesīguma attiecība. Šā darba ietvaros tiek veidots priekšstats par analīzes iespējām un tiek sniegti nosacījumi tālākai nākotnes situācijai prognozēšanai attiecībā uz izveidoto portfeli.Investing in stocks is a very old and well-known investment strategy and this work shows which investment strategy for creating an efficient Markowitz portfolio provides the best risk-return ratio. The goal of the Masters work is to create three diversified and efficient stock portfolios based on the analysis of Markowitz investment portfolio strategy (B. Graham, J. Piotroski and J. Greenblatt), based on the analysis of scientific literature and company shares, and to identify the ebst portfolio based on risk-return ratio. Author studied the strategies of B. Graham, J. Piotroski and J. Greenblatt and then selected shares in the investment portfolio. Analyzing and evaluating each strategy, it was concluded that J. Piotroski's strategy had the most attractive risk-return ratio. This work gives an idea of the possibilities of analysis and provides the coniditions for the future forecasting of the created portfolio
Inference on sets in finance
No full textWe consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen–Jagannathan sets of admissible stochastic discount factors, Markowitz–Fama mean–variance sets for asset portfolio returns, and the set of structural elasticities in Chetty's (2012) analysis of demand with optimization frictions. The econometric structure of the problem allows us to construct convenient and powerful confidence regions based on the weighted likelihood ratio and weighted Wald statistics. Our statistics differ from existing statistics in that they enforce either exact or first-order equivariance to transformations of parameters, making them especially appealing in the target applications. We show that the resulting inference procedures are more powerful than the structured projection methods. Last, our framework is also useful for analyzing intersection bounds, namely sets defined as solutions to multiple smooth inequalities, since multiple inequalities can be conservatively approximated by a single smooth inequality. We present two empirical examples showing how the new econometric methods are able to generate sharp economic conclusions. Keywords: Hansen–Jagannathan bound; Markowitz–Fama bounds; Chetty bounds; mean–variance sets; optimization frictions; inference; confidence se
The Price of Alcohol, Wife Abuse, and Husband Abuse
No full textAlcohol consumption has been frequently linked to family violence. The purpose of this paper is to examine the direct relationship between the price of alcohol, which determines consumption, and violence towards spouses. The data come from the 1985 cross section and the 1985-1987 panel of the National Family Violence Survey. The 1985 data are a nationally representative sample while the panel oversamples violent individuals. Dichotomous indicators of severe violence towards wives and husbands are used. A reduced for violence equation is estimated, and individual-level fixed effects are used to control for unobserved characteristics in the panel. A consistent result that emerges from this paper is that an increase in the pure price of alcohol, as measured by a weighted average of the price of alcohol from beer, wine, and liquor, will serve to reduce severe violence aimed at wives. By contrast, the evidence on the propensity of an increase in the price of alcohol to lower violence towards husbands is mixed. When individual level characteristics are not controlled for, the price is not a predictor of violence towards men. However, once the individual traits are controlled for, a negative relationship between the price and violence emerges.
Performance Analysis and Optimal Portfolio Disversfication of Fifthteen Stocks of LQ-45 Index Period 2007 - 2012 Using Markowitz Modern Portfolio Theory
No full textThe main theme of this research is Capital Market and focus on finding an Efficient and Optimal Portfolio based on the Markowitz Modern Portfolio Theory. Markowitz Modern Portfolio Theory explains that risk could be minimized by diverse the asset as a portfolio. It also explains than an optimal portfolio is a portfolio that gives highest return in a point of risk, or also meaning a portfolio with highest Sharpe ratio.  To find an optimal portfolio, the author made a portfolio simulation. In that simulation, there were 25 portfolios that made from stocks which were established in Jakarta Composite Index. 14 stocks were chosen in the simulation, these stocks were a stock that listed in LQ-45 Index in the January 2nd 2007 up to January 2nd 2012 period. The author uses Solver Add-ins in the process of making the portfolio. From the portfolios that were made, the author compares the portfolios performance with the Jakarta Composite Index performance. The compartment includes risk, return, beta, Sharpe ratio, and Treynor ratio. The portfolio number 3 which had highest Sharpe ratio shows a better performance than the JCI, while had higher risk. The weight proportion of the Portfolio number 3 was 50.95% ASII, 33.42% BBCA, 9.06% PGAS, 3.98% BBRI and 2.59% PTBA. The result of the Sharpe ratio is 147.49%, the beta was 1.2 and the Treynor ratio is 60.31%. Expected return of this portfolio was 79.34% while giving 48.95% risk. Keywords: Stocks, LQ-45 Index, Risk and Return, Portfolio, Sharpe Ratio, Treynor Ratio, Solver, Efficient Frontier, Markowitz Modern Portfolio Theor
Application of the model of Markowitz in the construction of portfolios with the actions of selected companies most traded in the Stock exchange of Colombia between July, 2012 and July, 2013.
No full textEl enfoque que se utiliza en el presente trabajo es de tipo descriptivo y evaluativo, en el sentido que describe el comportamiento histórico de las acciones que van a conformar diferentes portafolios; también se calcula la rentabilidad de las acciones, se evalúa su evolución y a través de el método científico (modelo Markowitz) se cuantifica el rendimiento y el riesgo asociado, con el fin de presentar soluciones óptimas de inversión, que favorezcan la toma de decisiones planificadas con máxima rentabilidad; esto debió a que es posible evidenciar que el tema de inversión para la mayoría de colombianos no es un tema frecuentemente usado, por ello el interés de realizar este trabajo es precisamente, mostrar y comprobar la funcionalidad y rentabilidad que ofrece este tipo de inversión bursátil, demostrando que mediante este método se disminuye el riesgo y que a su vez existe una posibilidad de inversión disponible para todos tal como lo plasmo en su trabajo el economista Harry Markowitz.The approach used in this study is descriptive and evaluative, in that it describes the historical performance of the shares which shall form different portfolios; also the profitability of the actions is calculated, his evolution is evaluated and across the scientific method (model Markowitz) the performance and the associate risk is quantified, in order to present ideal solutions of investment, which favor the capture of decisions planned with maximum profitability; this had to that it is possible to demonstrate that the topic of investment for the majority of Colombians is not a frequently, so the interest of this work is precisely to show and verify the functionality and performance offered by this type of stock investing , showing that using this method reduces the risk and in turn there is a possibility of investment available to all as he expressed on his work economist Harry MarkowitzPregrad
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