Title

APPLICATION OF MARKOWITZ PORTFOLIO
OPTIMIZATION ON BULGARIAN STOCK MARKET
FROM 2013 TO 2016

Authors

M. Ivanova, L. Dospatliev
Department of Informatics and Mathematics
Faculty of Economics
Trakia University
Studentski Grad, Stara Zagora, 6000, BULGARIA
Department of Pharmacology
Animal Physiology and Physiological Chemistry
Faculty of Veterinary Medicine
Trakia University
Studentski Grad, Stara Zagora, 6000, BULGARIA

Abstract

Investors of any time and of any investment area are faced with the conflicting objective of minimizing risks and simultaneously maximizing returns. Considering the trade-offs between risk and return, Harry Markowitz, an American financial economist, proposed the so-called optimal portfolio theory in 1952. The aim of this paper is to provide a practical study of Markowitz model on the Bulgarian stock market from 2013 to 2016. The significance of this study arises from the fact that although Markowitz model has been widely used by investors worldwide, its application on Bulgarian stock market is still relatively limited. From the data inputs which are weekly closing prices of 50 stocks traded on Bulgarian Stock Exchange between January 2013 and December 2016, efficient frontiers in addition to optimal portfolios are determined on the basis of Markowitz theory. As a result, Bulgarian investors can select their own optimal portfolio that maximizes portfolio rate of return with respect to their risk preference.

History

Received: 2017-06-14
Revised: 2017-11-15
Published: December 23, 2017

AMS Classification, Key Words

AMS Subject Classification: 62-07, 49M37, 90C30, 34K60, 91B30
Key Words and Phrases: portfolio risk, portfolio return, Sharpe's measure, portfolio efficient frontier, Optimal Markowitz portfolio

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Bibliography

1

J. Campbell, A. Lo, C. MacKinlay, The Econometrics ofFinancial Markets, Princeton University Press (1997).

2

G. Chacko, L. Viceira, Dynamic Consumption and Portfolio Choicewith Stochastic Volatility in Incomplete Markets, Review ofFinancial Studies, 18 (2005), 1369-1402.

3

How to Cite?

DOI: 10.12732/ijpam.v117i2.5 How to cite this paper?

Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395
Year: 2017
Volume: 117
Issue: 2
Pages: 291 - 307

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This work is licensed under the Creative Commons Attribution International License (CC BY).

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