Application of Markowitz model on the stock market from Romania within the global financial crisis

被引：0
|
作者：
Badea, Leonardo [1 ]
Petrescu, Marius [1 ]
Stegaroiu, Ion [1 ]
Stefan, Cristina [1 ]
机构：
[1] Univ Valahia Targoviste, Fac Econ Sci, Targoviste, Dambovita, Romania
来源：
RECENT ADVANCES IN BUSINESS ADMINISTRATION | 2010年
关键词：
Markowitz. Portfolio with absolute minimum variance; Frontier efficiency; variance-covariance matrix; Risk;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The present paper aims at answering a series of current questions regarding the opportunity of investments in stocks on the capital market in Romania, the determination of efficient portfolios, of the portfolio with absolute minimum variance and of the efficiency frontier on the background of the global financial crisis. Although it is more convenient, adopting a passive investment strategy raises the question whether there isn't a more efficient portfolio resulting from another combination of securities.
引用
收藏
页码：217 / 221
页数：5
相关论文
共 50 条
  • [41] Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH-DCC approach
    Dimitriou, Dimitrios
    Kenourgios, Dimitris
    Simos, Theodore
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2013, 30 : 46 - 56
  • [42] Stock Market Reaction to Corporate Real Estate Divestitures and Acquisitions during the Global Financial Crisis
    Eng, Annie Wong Ping
    Lee, Janice Ym
    Razali, Muhammad Najib Mohamed
    Abdullah, Mat Naim
    Asmoni, Mohd
    Mohammad, Izran Sarrazin
    JURNAL TEKNOLOGI, 2015, 73 (05):
  • [43] The global financial crisis impact on stock market efficiency: a Fourier unit root tests analysis
    Shaik, Muneer
    Kamdar, Pratik
    Nawaz, Nishad
    Rabbani, Mustafa Raza
    E-Vahdati, Sahar
    Afzal Saifi, Mohd.
    Grewal, Himani
    COGENT ECONOMICS & FINANCE, 2024, 12 (01):
  • [44] Global financial crisis and emerging stock market contagion: A volatility impulse response function approach
    Jin, Xiaoye
    An, Ximeng
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 36 : 179 - 195
  • [45] Asian stock market integration after the global financial crisis: an ARDL bound testing approach
    Saji, Thazhungal Govindan
    MANAGERIAL FINANCE, 2021, 47 (11) : 1651 - 1671
  • [46] Stock market recovery from the 2008 financial crisis: The differences across Europe
    Ivanov, Ivan
    Kabaivanov, Stanimir
    Bogdanova, Boryana
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 37 : 360 - 374
  • [47] Application of Markowitz's Portfolio Theory in Obtaining the Best Portfolio in the Stock Market
    Chao, Xiaotong
    Tao, Xinyu
    Zeng, Lingling
    PROCEEDINGS OF THE FIRST INTERNATIONAL SYMPOSIUM ON MANAGEMENT AND SOCIAL SCIENCES (ISMSS 2019), 2019, 309 : 119 - 122
  • [48] Does the stock market reward innovation? European stock index reaction to negative news during the global financial crisis
    Adcock, Christopher
    Hua, Xiuping
    Mazouz, Khelifa
    Yin, Shuxing
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2014, 49 : 470 - 491
  • [49] Relations in the Global Financial Market During the Crisis
    Doman, Malgorzata
    Doman, Ryszard
    EKONOMISTA, 2010, (02): : 215 - 226
  • [50] Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market
    Ly Thi Hai Tran
    Thao Thi Phuong Hoang
    Hoa Xuan Tran
    EMERGING MARKETS REVIEW, 2018, 37 : 114 - 133
12345