A Note on Markowitz Model

10 Pages Posted: 10 Oct 2019

See all articles by Javier Vidal-García

Javier Vidal-García

Harvard University; Complutense University Madrid

Date Written: September 29, 2019

Abstract

The Markowitz's model can be very useful in practice. Portfolio managers and private investors can use it easily having the necessary software for its correct application. In our study we show that the Markowitz model is able to provide portfolios that beat reference market portfolios (FTSE 100 and FTSE All-Share Index), obtaining higher returns with a lower risk. Both the FTSE 100 and the FTSE All-Share Index are not efficient portfolios, not reflecting the behaviour of the theoretical market portfolio. Therefore, the Markowitz model, as a tool for investment selection, provides portfolios with better performance than market benchmarks.

Keywords: Mutual Funds; Markowitz Model; Fund Performance; Portfolio Selection

JEL Classification: G11, G12

Suggested Citation

Vidal-García, Javier, A Note on Markowitz Model (September 29, 2019). Available at SSRN: https://ssrn.com/abstract=3461392 or http://dx.doi.org/10.2139/ssrn.3461392

Javier Vidal-García (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Complutense University Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223
Spain

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