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Comparison of the behavior of markowitz model across three broad indices under different market conditions

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dc.contributor.author Fernando, DNN
dc.contributor.author Perera, WADAU
dc.contributor.author Perera, SMH
dc.contributor.author Sumaiya, AMN
dc.contributor.author Perera, SD
dc.date.accessioned 2023-11-30T08:01:01Z
dc.date.available 2023-11-30T08:01:01Z
dc.date.issued 2023-12-04
dc.identifier.uri http://dl.lib.uom.lk/handle/123/21823
dc.description.abstract The Markowitz model, introduced by Harry Markowitz in 1952, forms the basis of Modern Portfolio Theory and provides a mathematical framework for investors to create well-diversified portfolios by balancing risk and return. This research investigates the performance of the Markowitz model across three major indices: Nifty 50 of India, PSEi composite of the Philippines, and Straits Times Index of Singapore, under different market conditions in different time regimes. The study covers a 15-year period starting from 2007, encompassing the global financial crisis and the COVID-19 pandemic. From each index, 20 stocks were selected based on their market capitalization. Through the application of the Markowitz mean-variance model, optimal portfolio weights were derived for different time regimes within each country. These trial period optimal weights were then applied to subsequent simulation periods for comparative analysis with the Market Capitalization Weighted Portfolio, serving as the benchmark. Performance assessments were based on the Sharpe ratio and Information ratio. Results revealed that the Markowitz model’s varied performance across market conditions in India and the Philippines whereas, in Singapore, it constantly well-performed despite the market condition due to the country’s relative stability than India and Philippines. These results suggested that the effectiveness of the model relies on the stability challenges that emerge in volatile and uncertain periods when the country is relatively unstable. en_US
dc.language.iso en en_US
dc.subject Indices en_US
dc.subject Information ratio en_US
dc.subject Markowitz model en_US
dc.subject Risk and return en_US
dc.subject Sharpe ratio en_US
dc.title Comparison of the behavior of markowitz model across three broad indices under different market conditions en_US
dc.type Conference-Full-text en_US
dc.identifier.faculty Business en_US
dc.identifier.department Department of Decision Sciences en_US
dc.identifier.year 2023 en_US
dc.identifier.conference International Conference on Business Research en_US
dc.identifier.place Moratuwa en_US
dc.identifier.pgnos pp. 1-12 en_US
dc.identifier.proceeding 6th International Conference on Business Research (ICBR 2023) en_US
dc.identifier.email fernandodnn.19@uom.lk en_US
dc.identifier.doi https://doi.org/10.31705/ICBR.2023.13 en_US


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