Publication detail

The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory

CHVÁTALOVÁ, Z. TRENZ, O. SLÁDKOVÁ, J.

Original Title

The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory

Type

conference paper

Language

English

Original Abstract

The current scientific state of knowledge deals with the Markowitz Mean-Variance model, which modifies various identified aspects (most often including risk, infections, cardinality problems and others). They modify the initial algorithm and then apply it to selected funds. Our aim was not to modify the Markowitz model, but to map the performance of individual types of funds using computer technology. The original intention was to compare the performance of social responsible investments (SRI) funds with others and to find out if they are economically interesting for the investors. Due to a lack of consistent data, the research team was only able to assess bond, equity and mixed assets funds. Five-year periods were chosen that showed consistent results (compared to one-year and research results). The data obtained was limited to a minimum of 5 funds in the portfolio, a minimum proportion of 5% for the fund in the portfolio, and 1000 possible variations of portfolios for the given type of fund were always created. These limits were applied to simulate the possible real decision-making of the investor on the financial market. In total, 550 Markowitz Bullets were examined, from which 8 key conclusions were drawn.

Keywords

Economic and mathematical modelling; investment portfolio management; Markowitz theory

Authors

CHVÁTALOVÁ, Z.; TRENZ, O.; SLÁDKOVÁ, J.

Released

10. 9. 2021

Location

Praha, ČR

ISBN

978-80-213-3126-6

Book

Mathematical Methods in Economics 2021: Conference Proceedings

Edition

1.

Pages from

214

Pages to

219

Pages count

6

URL

https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html

BibTex

@inproceedings{BUT176705,
  author="Zuzana {Chvátalová} and Oldřich {Trenz} and Jitka {Sládková}",
  title="The Performance Assessment of Different Types of Investment Funds Using Markowitz Portfolio Theory",
  booktitle="Mathematical Methods in Economics 2021: 
Conference Proceedings",
  year="2021",
  series="1.",
  pages="214--219",
  address="Praha, ČR",
  isbn="978-80-213-3126-6",
  url="https://mme2021.v2.czu.cz/en/r-16791-news-mme-2021/proceedings-of-the-39-th-international-conference-on-mme-202.html"
}