Optimizing Modern Portfolio Theory by Sharpe ratio

This study investigates the optimization of a Markowitz portfolio comprising ten risky assets traded on the Tehran Stock Exchange, employing the Sharpe ratio as the primary optimization criterion. Our research is motivated by the hypothesis that this optimization process would not only reduce portfolio risk but also yield superior performance compared to the broader stock market.The comprehensive analysis conducted in this study validated our hypothesis, showcasing that the Markowitz optimized portfolio, guided by the Sharpe ratio, indeed outperformed the market. Despite the relatively short holding period of six months, the findings highlight the effectiveness of this optimization approach. It is crucial for readers to note the computational intricacies associated with an increasing number of portfolio assets, emphasizing the importance of understanding asset relationships before selection. Additionally, the study acknowledges the Markowitz hypothesis's limitations under conditions deviating from efficient markets and stable economic and political norms, as observed in the ۲۰۰۸ financial crisis. As readers engage with this research, they are encouraged to explore alternative optimization methods, including asset pricing, arbitrage models, Treynor ratio, Sharpe's single-index model, and multi-factor models. These alternative approaches contribute to a nuanced understanding of portfolio management, offering valuable insights for investors seeking effective strategies tailored to their specific contexts. The presented findings aim to showcasing the significance of our research in advancing the field of portfolio optimization and its implications for practical investment decisions.

کلیدواژه ها:

Portfolio ، Optimization ، MPT ، Sharpe ratio ، Markowitz Optimization