Application of Markowitz model on the stock market from Romania within the global financial crisis

机译：Markowitz模型在全球金融危机下的罗马尼亚股票市场上的应用

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The present paper aims at answering a series of current questions regarding the opportunity of investments in stocks on the capital market in Romania, the determination of efficient portfolios, of the portfolio with absolute minimum variance and of the efficiency frontier on the background of the global financial crisis. Although it is more convenient, adopting a passive investment strategy raises the question whether there isn't a more efficient portfolio resulting from another combination of securities.

机译：本文旨在回答一系列有关罗马尼亚资本市场上的股票投资机会，确定有效投资组合，具有绝对最小方差的投资组合以及全球金融背景下的效率前沿的一系列当前问题。危机。尽管更方便，但采用被动投资策略会引发一个问题，即是否存在由另一种证券组合产生的更有效的投资组合。

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来源
《Recent advances in business administration》|2010年|p.217-221|共5页
会议地点 Cambridge(GB);Cambridge(GB)
作者
LEONARDO BADEA; MARIUS PETRESCU; ION STEGAROIU; CRISTINA STEFAN;
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作者单位

Faculty of Economic Sciences University Valahia of Targoviste Blv. Carol I, no. 2, Targoviste, Dambovita ROMANIA;

Faculty of Economic Sciences University Valahia of Targoviste Blv. Carol I, no. 2, Targoviste, Dambovita ROMANIA;

Faculty of Economic Sciences University Valahia of Targoviste Blv. Carol I, no. 2, Targoviste, Dambovita ROMANIA;

Faculty of Economic Sciences University Valahia of Targoviste Blv. Carol I, no. 2, Targoviste, Dambovita ROMANIA;

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会议组织
原文格式 PDF
正文语种 eng
中图分类管理学;计算技术、计算机技术;
关键词
Markowitz; Portfolio with absolute minimum variance; Frontier efficiency; variance-covariance matrix; Risk;

机译：马可维兹;具有绝对最小方差的投资组合；前沿效率；方差-协方差矩阵;风险;

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1. Application of Markowitz Model on Romanian Stock Market [J] . Ioana Coralia Zavera Holistica . 2017,第1期

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2. Assessing the Effects of Financial Liberalization and Global Financial Crisis on Stock Market Volatility: Evidence from Smooth-Transition GARCH Models [J] . Emna Bensethom Journal of Business & Financial Affairs . 2021,第1期

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3. Modelling the Impact of Global Financial Crisis on the Indian Stock Market through GARCH Models [J] . Shreya Mathur, Varun Chotia, N.V.M. Rao Asia-Pacific Journal of Management Research and Innovation . 2016,第1期

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4. Application of Markowitz model on the stock market from Romania within the global financial crisis [C] . LEONARDO BADEA, MARIUS PETRESCU, ION STEGAROIU, WSEAS International Conference on Business Administration . 2010

机译：Markowitz模型在全球金融危机中罗马尼亚股市的应用
5. Do contrarian and momentum strategies work in a global financial crisis period? Evidence from Asia Pacific stock markets. [D] . Tai, Yu-Nan. 2013

机译：逆势策略和动量策略在全球金融危机时期是否奏效？来自亚太股票市场的证据。
6. A heterogeneous artificial stock market model can benefit people against another financial crisis [O] . Haijun Yang, Shuheng Chen 2012

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7. Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania [O] . Razvan STEFANESCU, Ramona DUMITRIU 2009

机译：全球危机对罗马尼亚股市与外汇市场金融联系的影响

Application of Markowitz model on the stock market from Romania within the global financial crisis

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