تعميم نظريه ماركويتز در بهينه سازي سبد سهام

Generalizing of Markowitzʹs Theory in Optimizing The Portfolio of Stocks

Markowitz model to determine the weight of each stock in the portfolio is based on the optimal choice of stocks, in order to maximize the expected return. On the other hand, the expected value of each stock is placed in the model. The covariance of variations of the stock values is assumed fixed (exogenous) in the model. In this article by combining Markowitz and Sharpe theories a new model is introduced, which is more efficient compared with Markowitzʹs efficient frontier. In other word, by endogenizing the covariances of the rate of return of related stocks in the selected portfolio, the expected return of the propsed model is always larger or equal to expanded model compared with markowitz traditional model. In the suggested model, at any given level of portfolio risk, the proportion of unsystematic risk, according to the sharpe theory, which market doesnʹt reward, stands on the lowest possible level. The advantage of proposed model, both theorically and practically is proved through finding the optimal portfolio of stocks for large cement factories in Tehran stock exchange market compared with Markowitz model.