An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange

Jecheche, Petros (2011) An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange.

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Official URL: http://hdl.handle.net/10646/665

Abstract

Publisher's version,This paper is an empirical study on Harry Markowitz’s work on Modern Portfolio Theory (MPT). The model assumes the normality of assets’ return. The paper examined the Zimbabwe Stock Exchange by mathematical and statistical methods for normality of assets’ returns. We studied the effect of the parameters, Skewness and Kurtosis for different time series data. We tried to figure it out which data series is better to construct a portfolio and how these extra parameters can make us better informed in our investments.

Item Type: Article
Uncontrolled Keywords: Mean-Variance analysis,Modified Value at Risk,Diversification,Skewness,Kurtosis,Markowitz Modern Portfolio Theory
Divisions: Universities > State Universities > University of Zimbabwe
Depositing User: Mr. Edmore Sibanda
Date Deposited: 30 Nov 2015 01:01
Last Modified: 30 Nov 2015 01:01
URI: http://researchdatabase.ac.zw/id/eprint/931

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