IDEAS home Printed from https://ideas.repec.org/a/ath/journl/tome22v2y2011i22p8-14.html
   My bibliography  Save this article

Optimizing The Portfolio Of Assets, According To The Markowitz Model

Author

Listed:
  • Dan ARMEANU

    () (Academy of Economic Studies Bucharest)

  • Andreea NEGRU

    (Academy of Economic Studies Bucharest)

Abstract

One can argue – with a degree of certainty – that finance experts had long realised that the decision to invest needed to take into account both the profitability and the risk associated with the assets, but that used to be done mostly at an empirical level. The major contribution of professor H. Markowitz was that he was the first to put forward a concrete model for optimizing the selection of assets for investment portfolios under uncertain circumstances. More specifically, Markowitz showed how efficient portfolios (those that maximize expected profitability at a given risk level) can be put together, even when they consist only of riscky assets. The simplicity and the elegance of his result, as well as the high degree of practical applicability made it a very popular model, a true landmark in modern finances. In fact, H. Markowitz was awarded the Nobel Prize for economy in 1990, along with M. Miller and W. Sharpe.

Suggested Citation

  • Dan ARMEANU & Andreea NEGRU, 2011. "Optimizing The Portfolio Of Assets, According To The Markowitz Model," Internal Auditing and Risk Management, Athenaeum University of Bucharest, vol. 30(2(22)), pages 8-14, June.
  • Handle: RePEc:ath:journl:tome:22:v:2:y:2011:i:22:p:8-14
    as

    Download full text from publisher

    File URL: http://aimr.univath.ro/archive/atharticles/2011-2/2011-2-1.pdf
    Download Restriction: no

    More about this item

    Keywords

    Efficient portfolio; profitability; risk; volatility; optimum; variance;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ath:journl:tome:22:v:2:y:2011:i:22:p:8-14. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Cosmin Catalin Olteanu and Emilia Vasile). General contact details of provider: http://edirc.repec.org/data/feathro.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.