PORTFOLIO OPTIMIZATION - APPLICATION OF SHARPE MODEL USING LAGRANGE

BRATIAN Vasile , Lucian Blaga University of Sibiu

Abstract:
This paper presents the model developed by William Sharpe regarding the determination of the structure of the effective securities portfolio and the application of this model on the Romanian capital market. In this respect, the portfolio of shares used in our analysis is a portfolio of shares of the financial investment companies (SIF), listed on the Bucharest Stock Exchange (BVB), and for determining the structure of the efficient portfolio, there is built and minimized a function of type Lagrange. Also, to support practitioners, the paper also presents a series of mathematical demonstrations of variables used in modeling.

Keywords: modern portfolio theory, Sharpe model, lagrangian

JEL Classification: C02, G11, G17

Volume: 69, Issue: 5

Pages: 8 - 21

Publication date: December, 2017

Download the article: http://economice.ulbsibiu.ro/revista.economica/archive/69501bratian.pdf

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