Literature Review Boyle Phelim P.

& Uppal Raman University of British Columbia - Division of Finance; China Academy of Financial Research (CAFR) March 18, 2009 1. Keynes Meets Markowitz: The Trade off Between Familiarity and Diversification
Model also has empirically testable implications for trading behaviour: in response to a change in idiosyncratic risk the Keynesian portfolio always exhibits more trading than the Markowitz portfolio, while the opposite is true for a change in systematic volatility. In theequilibrium version of the model with heterogen eous agents who are familiar withdifferent assets, we find that the risk premium of stocks depends on both systematic and idiosyncratic volatility, and that the equity risk premium is significantly higher than in the standard model out ambiguity.

Viju & Baourakis March 19, 2009; last revised: September 16, 2009 2. Portfolio Optimization Using Markowitz Model: An Application of the Buharest Stock Exchange

The Bucharest Stock Exchange, with all its economical, social and political problems and sudden ups and downs, is a good reflection of the transition period that e mergingeconomy is currently undergoing. This stu dy focuses on the use of an appropriate methodology for constructing efficient stock portfolios in an extremely unstable market that makes the trade -off between risk and return even more difficult to achieve. The objective is set in order to assess the market behaviour: employing the Markowitz model, to construct a set of optimum portfolios under a number of varying constraints and to compare them with the market portfolio. Anton Abdulbasah Kamil & Chin Yew Fei - Journal of Statistics & Management Systems Vol. 9 (2006), No. 3, pp. 519536 3. Portfolio analysis based on Markowitz model This paper focused on Portfolio Analysis that set-up among 15 selected stocks traded in Kuala Lumpur Stock Exchange (KLSE). Markowitz model (1959) is the main idea which used to build up the optimal portfolio in order to achieve the objective of maximizes the return and minimizes the risk. There are few scenarios are considered in constructing the optimal portfolio, such as risk-free, taxes, transaction cost and benchmark portfolio. Zhidong Bai, Huixia Liu and Wing-Keung Wong - RMI Working Paper No. 09/02April 13, 2009

4. On the Markowitz mean-variance analysis of selffinancing Portfolios This paper extends the work of Markowitz (1952), Korkie and Turtle (2002) and others by first proving that the traditional estimate for the optimal return of self financing portfolios always overestimates from its theoretic value. We further demonstrate the superiority of our proposed estimate over the traditional estimate by simulation. Daniel Bertland 5. The Perfect Portfolio Abstract: Nowadays investors have a large number of choices of how they can invest their money. One of their biggest challenges is how to allocate their portfolio between equities, bonds and properties. It can only be shown afterwa rds, which wa s the best allocation. That is why it is so popular to look at historical mean-variance to predict the future.