Application of Markowitz Model on Romanian Stock Market

Abstract

Performance evaluation of financial instruments has become a concern for more and more economists, while security trading activities have developed over time. “Modern portfolio theory” comprises statistical and mathematical models which describe various ways in order to evaluate and especially analyse profitability and risk of these portfolios. This article offers an application of this type of model on Romanian stock market, the Markowitz model, by focusing on portfolios comprising three securities, and determining the efficient frontier and the minimum variance portfolio.