A Note on Markowitz Model
10 Pages Posted: 10 Oct 2019
Date Written: September 29, 2019
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: Suggested Citation