SHARE PORTFOLIO FORMATION WITH MINIMUM RISK BASED ON IMPROVED MARKOWITZ MODELS
Abstract
When assessing the risk of a portfolio using the Markowitz optimal portfolio formation model, it was found that a high level of risk makes stocks less attractive for investment. To minimize the risk of the portfolio, the Markowitz model is modified taking into account risk factors. In the article, using a modified Markowitz model, by means of covariance analysis and optimization of stock shares using the EXCEL office program and available open data, a portfolio with minimal risk was created and the results were described.
Keywords:
markovitz efficient portfolio model improved Markovitz model covariance stock allocation optimization risk variance diversificationReferences
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