Hoàng Quân Vương, Đông Quang Nguyễn, Chí Phương Ngô

In this article, we conduct the optimizing of a stock portfolio of five different stocks using numerical methods, with Vietnam market constraint of no short-selling. The outcome shows numerical solutions consisting of discrete points, significantly different from the analytics described by the theoretic parabolic curve of Markowitz. The underlying theory of this is the Sharpe-Lintner-Mossin model, with one risk-free asset, that is short-term government bond (one year). Our preference indicator for the selection of appropriate solutions is the coefficient tan(α), which is feasible to compute from the numerical solutions.

Economic Studies Vol.295(12) 2002 p.12-16