THE DEVELOPMENT OF MARKOWITZ- SHARPE'S THEORY AND NEW EFFICIENT FRONTIER: THE CASE OF LARGE CEMENT CORPORATIONS IN TEHRAN STOCK EXCHANGE MARKET

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SHAHRESTANI H.; BIDABAD B.; SAVABIASL F.

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2010 | Volume:10 | Issue:2 Page(s): 43-60

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Title

THE DEVELOPMENT OF MARKOWITZ- SHARPE'S THEORY AND NEW EFFICIENT FRONTIER: THE CASE OF LARGE CEMENT CORPORATIONS IN TEHRAN STOCK EXCHANGE MARKET

Author(s)

SHAHRESTANI H. | BIDABAD B. | SAVABIASL F. | Issue Writer Certificate

Keywords

CAPITAL MARKET LINEQ3

MEAN VARIANCE EFFICIENT FRONTIERQ3

RISKQ3

NEW EFFICIENT FRONTIERQ3

CAPITAL ASSET PRICING MODELQ2

Abstract

Markowitz's model which determines the weight of each stock in the portfolio is based on the optimal choice of stocks in order to maximize the expected returns. However, this theory through paying special attention to the concept of total RISK reaches to an efficient frontier which undoubtedly the portion of unsystematic RISK that the market doesn't reward will not stand in the minimum level.Besides, Sharpe's theory presents a model using some simplifying assumptions which attains a NEW EFFICIENT FRONTIER in which although the concept of systematic RISK governs it, its fundamental defect will absolutely be applying market portfolio in the case of investing. This article aims to combine the theories of Markowitz and Sharpe to introduce a new model. This new model is much better and more efficient in comparison to Markowitz's efficient frontier. Moreover, it reforms the exiting defect in Sharpe's model The superiority of proposed model over Markowitz and Sharpe's traditional models from the view point of theory is definitely proven through paying attention to unsystematic RISK, eliminating some assumptions of the traditional models and finally through finding the optimal portfolio of stocks for large cement corporations in Tehran stock exchange market.

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APA: Copy

SHAHRESTANI, H., BIDABAD, B., & SAVABIASL, F.. (2010). THE DEVELOPMENT OF MARKOWITZ- SHARPE'S THEORY AND NEW EFFICIENT FRONTIER: THE CASE OF LARGE CEMENT CORPORATIONS IN TEHRAN STOCK EXCHANGE MARKET. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 10(2), 43-60. SID. https://sid.ir/paper/86602/en

Vancouver: Copy

SHAHRESTANI H., BIDABAD B., SAVABIASL F.. THE DEVELOPMENT OF MARKOWITZ- SHARPE'S THEORY AND NEW EFFICIENT FRONTIER: THE CASE OF LARGE CEMENT CORPORATIONS IN TEHRAN STOCK EXCHANGE MARKET. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2010;10(2):43-60. Available from: https://sid.ir/paper/86602/en

IEEE: Copy

H. SHAHRESTANI, B. BIDABAD, and F. SAVABIASL, “THE DEVELOPMENT OF MARKOWITZ- SHARPE'S THEORY AND NEW EFFICIENT FRONTIER: THE CASE OF LARGE CEMENT CORPORATIONS IN TEHRAN STOCK EXCHANGE MARKET,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 10, no. 2, pp. 43–60, 2010, [Online]. Available: https://sid.ir/paper/86602/en

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