Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București
[Particularities of applying Modern Portfolio Theory on the Romanian capital market]
This paper studies the particularities of portfolio selection on the Romanian stock market using the risk-return maximization criteria introduced by Harry Markowitz (1952). We used daily prices for the 36 most liquid companies traded on Bucharest Stock Exchange during January 2010 – March 2012 and we emphasized the shape and the characteristics of the sets of possible combinations of N out of the total 36 selected assets.
|Date of creation:||01 Dec 2012|
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- Solnik, Bruno, 1983. " International Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 38(2), pages 449-57, May.
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- John L. Evans & Stephen H. Archer, 1968. "Diversification And The Reduction Of Dispersion: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 23(5), pages 761-767, December.
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