期刊名称：Annals of the University of Craiova: Economic Sciences Series
印刷版ISSN：1223-365X
电子版ISSN：1843-3723
出版年度：2010
卷号：2
页码：1-8
语种：English
出版社：Universitaria Craiova
摘要：In this paper,the authors test a model of an efficient portfolio with minimum risk,starting from the analysis of one year portfolio payoff and risk of ten securities from Bucharest Stock Exchange.In accordance with the modern portfolio theory,maximization of returns at minimal risk should be the main objective of every investor.We show,using a mathematical methodology based on Markowitz portfolio theory and on Lagrange function,which is the exact amount of stocks to be purchased from a Bucharest Stock Exchange sample of securities in order to have an efficient portfolio with minimum risk at a given return.
