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Modelling the Efficent Frontier of Investments Portfolio

Author

Listed:
  • Maria Dimitriu
  • Maria-Ramona Dinu
  • Razvan Constantin Caracota

Abstract

The portfolio is a collection of financial assets (CDs, bills, bonds, common stock) and real assets. The financial securities held in the portfolio are organized according to the investor's interests in categories, maturities, yield levels etc. Combining these financial instruments according to the criteria for investment purposes and the risks involved, is called asset allocation. Optimal portfolio construction is based on analysis and decision period 2007-2012. Since the effects of economic crisis were felt very strongly in the stock exchange activity, in the paper have been defined the following calculation and observation periods: before the crisis: 2007-September 2008, during the crisis: October 2008-March 2010, after the crisis: April 2010-2012.

Suggested Citation

  • Maria Dimitriu & Maria-Ramona Dinu & Razvan Constantin Caracota, 2014. "Modelling the Efficent Frontier of Investments Portfolio," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(3), pages 35-40, September.
    • Handle: RePEc:khe:journl:v:6:y:2014:i:3:p:35-40
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    References listed on IDEAS

    as
    1. Ravi Jagannathan & Zhenyu Wang, 1998. "An Asymptotic Theory for Estimating Beta-Pricing Models Using Cross-Sectional Regression," Journal of Finance, American Finance Association, vol. 53(4), pages 1285-1309, August.
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    More about this item

    Keywords

    Efficient markets; efficient portfolio; optimal portfolio selection; assets allocation; risk;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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