Reviewing Optimized Portfolios: All Seasons Strategy
pdf (Português (Brasil))

How to Cite

D. Navas, R., & R. Bentes, S. (2022). Reviewing Optimized Portfolios: All Seasons Strategy. Review of Business Management, 23(4).


Purpose – Our research revisits the study “Optimized Portfolios: All Seasons Strategy,” where we support diversified portfolios to minimize risk, considering the principle of Markowitz.

Theoretical framework – We re-examine the results of Navas et al. (2020). The idea behind this is the theory of Harry Markowitz (1959, 2010), regarded as the founder of modern portfolio theory.

Design/methodology/approach – Six different models are run using data from 2000 to 2010 and a solver is developed, where the GRG Nonlinear engine for linear solver problems is the solving process chosen.

Findings – The GRG Nonlinear engine is efficient if we take into account ways to lower volatility since it is inversely correlated to predictions.

Practical & social implications of research – To predict the composition of the portfolios, we do not take into consideration the crash of gold and precious metals in 2013.

Originality/value – Robust portfolios can be generated where the risk is minimized and the return is maximized.

Keywords – MPT, Markowitz, portfolio formation, Sharpe ratio, volatility
pdf (Português (Brasil))

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