FORMATION OF AN EFFICIENT SECURITIES PORTFOLIO IN THE CAPITAL MARKET OF UZBEKISTAN AND EVALUATION OF ITS PERFORMANCE

Abstract

This article examines the issues of forming an efficient securities portfolio in the capital market of Uzbekistan based on Markowitz’s mean-variance optimization model. The study uses 748 daily observations covering the period from July 23, 2022 to August 14, 2025 and forms equally weighted, minimum variance, and tangent portfolios based on the shares of six joint-stock companies actively traded on the Republican Stock Exchange “Tashkent” - three banks (Hamkorbank, Ipoteka-bank, and Ipak Yuli) and three non-bank companies (Uzbekistan Metallurgical Combine, Uztelecom, UZRTXB, and CHBSK). Portfolio performance is evaluated using the Sharpe ratio, Treynor ratio, Jensen’s alpha, and M² measure, and a comparison of banking and non-banking sector indices is carried out based on 1,000 potential portfolios using Monte Carlo simulation. The results of the study show that the tangent portfolio composed of bank shares demonstrates the highest performance (E(P) = 40.80%, σp = 4.68%, Sharpe ratio = 6.83).