Optimum portfolio selection based on markowitz mean-variance model: A case study of an insurance company

Abbasian, E.A.; Mahmoudi, V.; Armian, S.

doi:10.22056/ijir.2013.03.01

Document Type : Original Research Paper

Authors

¹ Department of Financial Management, Bu Ali Sina University, Hamadan, Iran

² Department of Financial Management, Tehran University, Tehran, Iran

https://doi.org/10.22056/ijir.2013.03.01

Abstract

The insurance company studied every year with the idea of increasing financial credit and providing more favorable services to the people and policyholders by making deposits. In the meantime, paying damages to the victims of this company causes the managers of this company to always seek to determine and identify the appropriate and optimal amount of deposits to pay the damages. For this purpose, in the current research, the optimal limit of risky and non-risky investment portfolios of the studied insurance company during the period of 1375-1389 has been determined. The Markowitz model has been used to determine the optimal limit of the investment portfolio. The results of the Markowitz model showed that the optimal limit of risky investments is 39% and 61% of risk-free investments.

Keywords

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Iranian Journal of Insurance Research

Optimum portfolio selection based on markowitz mean-variance model: A case study of an insurance company

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Volume 2, Issue 3 - Serial Number 5
July 2013
Pages 185-199

Optimum portfolio selection based on markowitz mean-variance model: A case study of an insurance company

Letters to Editor

Send comment about this article

Volume 2, Issue 3 - Serial Number 5July 2013Pages 185-199

Volume 2, Issue 3 - Serial Number 5
July 2013
Pages 185-199