Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București

Panait, Iulian and Diaconescu, Tiberiu (2012): Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București.

Abstract

This paper studies the particularities of portfolio selection on the Romanian stock market using the risk-return maximization criteria introduced by Harry Markowitz (1952). We used daily prices for the 36 most liquid companies traded on Bucharest Stock Exchange during January 2010 – March 2012 and we emphasized the shape and the characteristics of the sets of possible combinations of N out of the total 36 selected assets.

• Item Type: MPRA Paper
• English Title: Particularities of applying Modern Portfolio Theory on the Romanian capital market
• Language: Romanian
• Keywords: stock returns, portfolio, emerging stock markets, expected return, variance
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

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