EXPLICIT FORMULAS FOR AN EFFECTIVE STOCKS PORTFOLIO IN THE MARKOWITZ’S STANDARD MODEL
Dmitry B. Zotyev, Vyacheslav E. Sokolov
Novosibirsk State University of Economics and Management, Novosibirsk, Russian Federation
Keywords: Markowitz’s theory, optimal portfolio, Tobin’s model, stocks, diversified portfolio, investment risk
Abstract
The article provides explicit formulas for the parameters of an effective stock portfolio obtained based on Markowitz’s theory, including for the Tobin’s Model. An empirical test was performed and confirmed the correctness of the obtained formulas. They can be useful in theoretical studies related to effective securities portfolios, as well as in the development of computer programs for analysing investments and the stock market.
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