OPTIMUM PORTFOLIO SELECTION BASED ON MARKOWITZ MEAN-VARIANCE MODEL: A CASE STUDY OF AN INSURANCE COMPANY

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ABBASIAN EZZATOLLAH; MAHMOUDI VAHID; ARMIAN SARA

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Journal: IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH) Year:2013 | Volume:28 | Issue:3 (111) Page(s): 1-19

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Title

OPTIMUM PORTFOLIO SELECTION BASED ON MARKOWITZ MEAN-VARIANCE MODEL: A CASE STUDY OF AN INSURANCE COMPANY

Author(s)

ABBASIAN EZZATOLLAH | MAHMOUDI VAHID | ARMIAN SARA | Issue Writer Certificate

Keywords

INSURANCEQ2

PORTFOLIO OPTIMIZATIONQ2

MARKOWITZ MODELQ2

Abstract

The INSURANCE company in focus intends to raise financial credit and offer enhanced services to the insured and the public. By and large, the need to meet financial obligations arising from claims requires determination of the optimum claims reserve deposited with banks. Therefore, this paper tries to determine the optimum portfolio of risky and risk free assets during 1996-2011, in an INSURANCE Company. In order to determine the optimum portfolio of the INSURANCE Company, we use Harry MARKOWITZ MODEL, also known as Mean-Variance model. Our results indicate that the optimum portfolio includes a mixture of risk-free and risky assets in the proportion of 61 and 39 percent, respectively.

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APA: Copy

ABBASIAN, EZZATOLLAH, MAHMOUDI, VAHID, & ARMIAN, SARA. (2013). OPTIMUM PORTFOLIO SELECTION BASED ON MARKOWITZ MEAN-VARIANCE MODEL: A CASE STUDY OF AN INSURANCE COMPANY. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 28(3 (111)), 1-19. SID. https://sid.ir/paper/100813/en

Vancouver: Copy

ABBASIAN EZZATOLLAH, MAHMOUDI VAHID, ARMIAN SARA. OPTIMUM PORTFOLIO SELECTION BASED ON MARKOWITZ MEAN-VARIANCE MODEL: A CASE STUDY OF AN INSURANCE COMPANY. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2013;28(3 (111)):1-19. Available from: https://sid.ir/paper/100813/en

IEEE: Copy

EZZATOLLAH ABBASIAN, VAHID MAHMOUDI, and SARA ARMIAN, “OPTIMUM PORTFOLIO SELECTION BASED ON MARKOWITZ MEAN-VARIANCE MODEL: A CASE STUDY OF AN INSURANCE COMPANY,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 28, no. 3 (111), pp. 1–19, 2013, [Online]. Available: https://sid.ir/paper/100813/en

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