A Note on Markowitz Model

12 Pages Posted: 10 Oct 2019 Last revised: 28 Jan 2022

See all articles by Javier Vidal-García

Javier Vidal-García

Complutense University of Madrid; Harvard University

Marta Vidal

Universidad Europea de Madrid; Universidad Complutense de Madrid (UCM)

Date Written: September 29, 2021


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. Using a sample of daily mutual fund returns from the UK market for an interval covering from January 1st, 1990 to December 31, 2020; 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 and Vidal-García, Javier and Vidal, Marta, A Note on Markowitz Model (September 29, 2021). Available at SSRN: https://ssrn.com/abstract=3461392 or http://dx.doi.org/10.2139/ssrn.3461392

Javier Vidal-García (Contact Author)

Complutense University of Madrid ( email )

School of Business Administration
Somosaguas Campus
Madrid, Madrid 28223

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

Marta Vidal

Universidad Europea de Madrid ( email )

Villaviciosa de Odón
Madrid, 28670

Universidad Complutense de Madrid (UCM) ( email )

Somosaguas Campus
Madrid, 28223

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