This paper outlines the objective of the study on mean-variance optimization application in the Malaysian stock market. It offers a critical review of the salient literature that discuss the advantages and limitation of mean-variance analysis, especially in imperfect markets and thus sets the basis for trying out a novel portfolio management approach in Malaysia. / Mean-variance optimization was first developed by Harry Markowitz in 1952 but was later adopted by William Sharpe in his capital asset pricing model (CAPM) to exploit asset pricing anomalies to achieve exceptional gain and to diversify unsystematic risk in investment portfolios as compared to holding the market portfolio. / In this paper, the researcher explores the pros and cons of MV optimization through reviewing the past literature and suggests various modification/adaptation to the existing model to suit the local environment. He also suggests the addition of stock size and value as moderating factors to enhance the effectiveness of the test model. / Thesis (DBA(DoctorateofBusinessAdministration))--University of South Australia, 2006.
| Identifer | oai:union.ndltd.org:ADTP/267246 |
| Date | January 2006 |
| Creators | Chang, Sui Loong. |
| Source Sets | Australiasian Digital Theses Program |
| Language | English |
| Detected Language | English |
| Rights | copyright under review |
Page generated in 0.0019 seconds