scholarly journals Applying Markowitz portfolio theory to measure the systematic risk in agriculture

2016 ◽  
Author(s):  
Marián Tóth ◽  
Ivan Holúbek ◽  
Roman Serenčéš
Keyword(s):  
Systematic Risk ◽  
Portfolio Theory ◽  
Markowitz Portfolio

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

2017 ◽  
pp. 24-42
Author(s):  
Martin Širůček ◽  
Lukáš Křen
Keyword(s):  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Dow Jones Industrial Average ◽  
Markowitz Portfolio ◽  
The Us ◽  
Capm Model ◽  
Optimal Approach ◽  
Investment Portfolios ◽  
High Beta

This chapter 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 are put 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.

scholarly journals Risk-Adjusted Returns of American Depositary Receipts on Chinese and Indian Stocks

2009 ◽  
Author(s):  
Onur Arugaslan ◽  
Ajay Samant
Keyword(s):  
Stock Markets ◽  
Systematic Risk ◽  
Portfolio Theory ◽  
Evaluation Metrics ◽  
American Depositary Receipts ◽  
Total Risk ◽  
Modern Portfolio Theory ◽  
Statistical Measures ◽  
Global Investors ◽  
Depositary Receipts

This study evaluates the risk-adjusted performance of American Depositary Receipts (ADRs) on shares of stock of Chinese and Indian fi rms. The first part of the study examines the nature of Chinese and Indian ADRs (based on depositary bank, sponsorship status, industry classification and listing). The second part of the study evaluates the performance of these ADRs using statistical measures grounded in modern portfolio theory. Returns are adjusted for the degree of total risk and systematic risk inherent in each ADR, and the securities are then ranked on the basis of risk-adjusted performance. Two relatively new evaluation metrics, the Modigliani and Sortino measures, are used. The objective of the study is to provide documentation to global investors who are contemplating participation in Chinese and Indian stock markets via depositary receipts.  

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

2015 ◽  
Vol 63 (4) ◽  
pp. 1375-1386 ◽  
Author(s):  
Martin Širůček ◽  
Lukáš Křen
Keyword(s):  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Asset Pricing Model ◽  
Dow Jones Industrial Average ◽  
Markowitz Portfolio ◽  
The Us ◽  
Capm Model ◽  
Optimal Approach ◽  
Investment Portfolios ◽  
High Beta

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 are put 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.

scholarly journals Application of Markowitz Portfolio Theory to Producing the World Major Field Crops

2020 ◽  
Vol 12 (4) ◽  
pp. 123-131
Author(s):  
Natalia Vasylieva
Keyword(s):  
Portfolio Theory ◽  
Global Food Security ◽  
Country Level ◽  
Trade Offs ◽  
World Markets ◽  
Markowitz Portfolio ◽  
The World ◽  
Research Outcome ◽  
Mean Variance ◽  
Global Food

Development of growing cereals and oilseeds is a pressing issue for providing global food security and renewable energy. The study deals with applying methods of portfolio theory to mitigate natural and marketing uncertainties emerged from unstable yields and volatile prices for wheat, maize, barley, sunflower, soybeans, and rapeseed. The research outcome based on the utilization of Markowitz mean-variance indicators made possible to evaluate portfolio performances of the world top cereals and oilseeds producers. The study findings at a country level combined econometric forecasting of the crop revenues and modeling optimal portfolios of cereals and oilseeds subject to acceptable trade-offs between risks and expected revenues. The fulfilled calculations with Ukrainian focus clarified farmland allocations under cereal and oilseed crops to underpin biodiversity and keep firm positions in the world markets.

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