Optimizing models of a stock portfolio issued by Financial Investment Companies

Corduneanu, Carmen and Turcas, Daniela (2008): Optimizing models of a stock portfolio issued by Financial Investment Companies.

Abstract

The complex methodology used in financial portfolio management proves that H. Markowitz optimization approach is one of the most applied techniques on developed global financial markets. Financial information spreading and processing speed, real time access to information, the performance maximization criterion for managed portfolios, are fundamental factors requiring higher reaction speed from the portfolio manager in order to take the appropriate strategic decisions. Sustained decision process requires specific applications and flexibility to present financial circumstances, a relevant example being Crystal Ball software. This paper intends to test in practice the facilities offered by Crystal Ball regarding a stock portfolio and to compare the results generated by Markowitz approach.

• Item Type: MPRA Paper
• Language: English
• Keywords: capital market, portfolio optimisation,Financial Investments Companies
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E22 - Investment ; Capital ; Intangible Capital ; Capacity; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; D - Microeconomics > D1 - Household Behavior and Family Economics > D14 - Household Saving; Personal Finance

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