Explicit formulas for an effective stocks portfolio in the Markowitz’s standard model
https://doi.org/10.34020/2073-6495-2024-3-107-120
Abstract
The article provides explicit formulas for the parameters of an effective stock portfolio obtained based on Markowitz’s theory, including for the Tobin’s Model. An empirical test was performed and confirmed the correctness of the obtained formulas. They can be useful in theoretical studies related to effective securities portfolios, as well as in the development of computer programs for analysing investments and the stock market.
About the Authors
D. B. Zotyev
Novosibirsk State University of Economics and Management
Russian Federation
Russian Federation
Zotyev Dmitry B. – Doctor of Physical and Mathematical Sciences, Department of Mathematics and Natural Sciences
Novosibirsk
V. E. Sokolov
Novosibirsk State University of Economics and Management
Russian Federation
Russian Federation
Sokolov Vyacheslav E. – Postgraduate Student, Lecturer, Department of Statistics
Novosibirsk
References
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Review
For citations:
Zotyev D.B., Sokolov V.E. Explicit formulas for an effective stocks portfolio in the Markowitz’s standard model. Vestnik NSUEM. 2024;(3):107-120. (In Russ.) https://doi.org/10.34020/2073-6495-2024-3-107-120
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