Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43907497" target="_blank" >RIV/62156489:43110/15:43907497 - isvavai.cz</a>

Result on the web

<a href="http://acta.mendelu.cz/media/pdf/actaun_2015063041375.pdf" target="_blank" >http://acta.mendelu.cz/media/pdf/actaun_2015063041375.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201563041375" target="_blank" >10.11118/actaun201563041375</a>

Result language

angličtina

Original language name

Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market

Original language description

This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio areput together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor's portfolio.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AE - Management, administration and clerical work

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Volume of the periodical

63

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

12

Pages from-to

1375-1386

UT code for WoS article

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EID of the result in the Scopus database

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