STUDY REGARDING THE MARKOWITZ MODEL OF PORTFOLIO SELECTION

BALTES Nicolae, Lucian Blaga University of Sibiu, România

DRAGOE Alexandra-Gabriela-Maria, Lucian Blaga University of Sibiu, România

Abstract:
The Markowitz model was introduced through the work of Harry Markowitz (1952) and analyzes the risk and the rentability of a diversified portfolio of securities. In our research, we want to use the Markowitz model in order to identify the structure of the optimal portfolio of risky assets, in other words the efficient portofolio. The study, conducted on three romanian companies from the construction sector, listed on the Bucharest Stock Exchange, leads to the conclusion that the portfolio is illegitimate, so it is necessary to sell the securities of the companies in the absence, procedure known as short sell.

Keywords: efficient portfolio, risk, rentability, scenario

JEL Classification: G11, G17

Volume: 67, Issue: Supplement

Pages: 195 - 206

Publication date: September, 2015

Download the article: http://economice.ulbsibiu.ro/revista.economica/archive/suplimente/67S19baltes&dragoe.pdf

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