THE APPLICATION OF VARIANCE AND SEMI-VARIANCE FOR CONSTRUCTING STOCK PORTFOLIO IN CASE OF NORMAL DISTRIBUTION OF THE RETURN RATES
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The aim of this article was to compare the Markowitz model with the model minimalising semi-variance for normal distributions of rates of return, as well as to verify the view that both models lead to the same optimum result for normal distribution of return rates. It was shown that even for normal distributions of rates of return, the Markowitz model and the model minimalising the semi-variance may indicate a different efficient portfolio.
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