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Modern portfolio theory according to Markowitz - simply explained

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    Definition of portfolio theory according to Harry M. Markowitz

    Markowitz, Kenneth A. Wien, Austria Seller Rating:. Markowitz Harry M.

    Create a Want Tell us what you're looking for and once a match is found, we'll inform you by e-mail. In a nutshell, Markowitz's portfolio theory states that the investment should achieve the highest possible return for the investor at the highest possible risk that seems personally appropriate to him. It therefore serves as the basis for an optimal asset allocation according to the individual needs and possibilities of the investor.

    If you invest in different asset classes at the same time, you can optimally reduce the risk of partial or total losses through broad diversification. The risk of loss increases with the increase in the fluctuation margin, which has a direct impact on the return and the way it works. If the investor commits himself to a single asset class , he will achieve only a comparatively low - and thus not optimal - return at low risk. Conversely, in the case of purely speculative asset classes with correspondingly high return potential , it also assumes a very high risk of loss.

    The broader the risk diversification in the portfolio, the higher the protection against losses. Which diversification can't: It does not increase the return on investment by itself, but serves the purpose of hedging and capital preservation. The lower the investment , the less diversification is usually important for the investor. Those who invest euros will only be able to invest this amount in a few asset classes on the capital market and will presumably limit themselves to a higher-risk asset class with a higher risk of loss.

    However, a total loss of the comparatively low invested capital should be manageable. At 10, euros and more, however, a high loss can be far more painful, depending on the investor's financial situation. Those who put everything on one card have done nothing to preserve capital, and the amount is difficult to recover or offset from future returns, for example. This makes it all the more important to structure your portfolio carefully.

    Markowitz Harry Blay Kenneth

    Markowitz uses mathematical formulas for portfolio theory. However, since few investors are mathematicians, the portfolio can also be compiled without direct application of the formulas if the correlation between the various asset classes is taken into account and the portfolio components are selected according to the degree of risk and return behaviour with the broadest possible diversification. For example, the risk within the "equities" asset class is reduced if the investor invests not only in equities of one country or exclusively in emerging markets, but worldwide.

    For example, the risk-conscious equity investor always invests in different sectors that have no indirect connection e. Diversification is therefore also of great importance within an asset class. Long-term investments in equities are regarded as the most profitable investment on the yield side, but as an asset class they also involve a high investor risk.

    Other components of the portfolio which, on the other hand, reduce the risk of the overall composition may be commodities which are more of an "insurance character" due to their generally low fluctuation margin, or the low-risk German government bonds. In percentage terms, they usually account for a smaller proportion of the portfolio, as they weaken the overall return, but are also regarded as a "safe haven" in terms of addition and broad diversification.

    The aim is to achieve the best possible asset allocation within a single efficient portfolio to reach. Markowitz takes into account the key figures return as well as their range of fluctuation and correlation in the purely rational formula calculation. Since investors often act less rationally when structuring their portfolios, for example by selecting their personal favourite stocks e.

    Correlation is the statistical relationship between two variables. It shows whether there is a correlation between the return of the selected asset classes and how strong it is. In order to calculate this relationship, the returns of different investments x and y are considered over a defined period in the form of series of figures. The value 0, in turn, indicates that there is no identifiable relationship between the two variables. Suppose the investor invests in two asset classes X and Y , which in this case are the two variables:. When asset class X rises, asset class Y also rises.

    The positive correlation between the two asset classes naturally also exists when asset class X falls and asset class Y also falls. The price behavior of two strongly correlating asset classes therefore always goes in the same direction. The opposite is true for a negative correlation. If asset class X falls, asset class Y rises. The stronger the correlation value tends towards -1, the further the two asset classes drift apart on the price side, i. Efficient portfolios of risky and low-risk investments Harry M.

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    Markowitz's modern portfolio theory - Source: anlegercampus. It has the lowest fluctuations in value, but also the second lowest return. Efficient portfolios - and thus the portion that is interesting for investors - lie on an imaginary line between the points M and A. Although the two portfolios to the right of point S show a slightly higher return than the others, they contain a disproportionately increasing risk. The lowest portfolio between points B and M is inefficient , because the two portfolios to the left above the inefficient portfolio have a lower risk despite higher yields, although the low-risk portion bonds has a higher risk portion of equities prerequisite: the portion of high-risk equities must not correlate with each other in this case!

    Summarizing the most important findings of modern portfolio theory according to Markowitz.