Markowitz Portfolio Model: Evidence from Dhaka Stock Exchange in Bangladesh

Abstract

The main purpose of this paper is to construct an optimal portfolio by using Markowitz model. For this purpose the monthly closing prices of 164 companies listed in Dhaka Stock Exchange (DSE) and DSE all share price index for the period of July 2007 to June 2012 have been considered. The proposed method formulates an efficient set, selects portfolio having excess return to standard deviation ratio satisfying the constraint that the sum of proportions invested in the assets equals one. The optimum portfolio consists of twenty stocks selected out of 164 stocks, giving the return of 6.48%. The findings of this paper will be useful for policy makers, all kinds of investors, corporations and other financial market-participants.