Markowitz efficient frontier and capital market line : evidence from the portuguese stock market

Detalhes bibliográficos
Autor(a) principal: Garcia, Maria Teresa
Data de Publicação: 2017
Outros Autores: Borrego, Daniel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/13948
Resumo: This paper estimates the efficient frontier and the capital market line using listed stocks of the Portuguese capital market that are part of the PSI20 index, considering two different periods - before and after the 2008 financial crisis, known as the Global Financial Crisis. The results show the impact of the 2008 financial crisis on the global minimum variance portfolio and on the market portfolio. The sensitivity analysis of the results to the inclusion or not of the year 2008 is also considered
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spelling Markowitz efficient frontier and capital market line : evidence from the portuguese stock marketMarkowitz portfolio theoryMean-variance theoryEfficient FrontierCapital Market LinePSI20This paper estimates the efficient frontier and the capital market line using listed stocks of the Portuguese capital market that are part of the PSI20 index, considering two different periods - before and after the 2008 financial crisis, known as the Global Financial Crisis. The results show the impact of the 2008 financial crisis on the global minimum variance portfolio and on the market portfolio. The sensitivity analysis of the results to the inclusion or not of the year 2008 is also consideredInstituto Superior de Economia e GestãoRepositório da Universidade de LisboaGarcia, Maria TeresaBorrego, Daniel2017-07-17T09:48:19Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/13948engGarcia, Maria Teresa e Daniel Borrego (2017). "Markowitz efficient frontier and capital market line : evidence from the portuguese stock market". European Journal of Management Studies, 22(1):3-232183-4172info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:44:02Zoai:www.repository.utl.pt:10400.5/13948Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:59:51.036613Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
title Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
spellingShingle Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
Garcia, Maria Teresa
Markowitz portfolio theory
Mean-variance theory
Efficient Frontier
Capital Market Line
PSI20
title_short Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
title_full Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
title_fullStr Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
title_full_unstemmed Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
title_sort Markowitz efficient frontier and capital market line : evidence from the portuguese stock market
author Garcia, Maria Teresa
author_facet Garcia, Maria Teresa
Borrego, Daniel
author_role author
author2 Borrego, Daniel
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Garcia, Maria Teresa
Borrego, Daniel
dc.subject.por.fl_str_mv Markowitz portfolio theory
Mean-variance theory
Efficient Frontier
Capital Market Line
PSI20
topic Markowitz portfolio theory
Mean-variance theory
Efficient Frontier
Capital Market Line
PSI20
description This paper estimates the efficient frontier and the capital market line using listed stocks of the Portuguese capital market that are part of the PSI20 index, considering two different periods - before and after the 2008 financial crisis, known as the Global Financial Crisis. The results show the impact of the 2008 financial crisis on the global minimum variance portfolio and on the market portfolio. The sensitivity analysis of the results to the inclusion or not of the year 2008 is also considered
publishDate 2017
dc.date.none.fl_str_mv 2017-07-17T09:48:19Z
2017
2017-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/13948
url http://hdl.handle.net/10400.5/13948
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Garcia, Maria Teresa e Daniel Borrego (2017). "Markowitz efficient frontier and capital market line : evidence from the portuguese stock market". European Journal of Management Studies, 22(1):3-23
2183-4172
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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