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| Title: | An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange |
| Authors: | Jecheche, Petros |
| Item Type: | Article |
| Keywords: | Mean-Variance analysis
Modified Value at Risk
Diversification
Skewness
Kurtosis
Markowitz Modern Portfolio Theory |
| Issue Date: | 2011 |
| Publisher: | Academic and Business Research Institute |
| Citation: | Jecheche P. 1. An empirical investigation of Markowitz Modern Portfolio Theory: A case of the Zimbabwe Stock Exchange. Academic and Business Research Institute, Journal of Case Research in Business and Economics |
| Abstract: | 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. |
| Description: | Publisher's version |
| URI: | http://hdl.handle.net/10646/665 |
| ISSN: | 1941-3378 |
| Appears in Collections: | Staff Publications
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