• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Aleksej Erpy'lev
Anomalies in asset prices due to the use of Markowitz portfolio theory
Bachelor’s programme
2014
The subject of the paper is the anomalies in asset prices that appear due to the fact that a significant number of investors follow similar investing strategies – modifications of Markowitz modern portfolio theory (MPT). Four different modifications of Markowitz models are considered including models augmented with risk aversion empirically obtained using Jackwerth equation. The search for anomalies is carried using historical data of the Russian stock market between January 2010 and April 2014. There have been found abnormal returns that relate to changes in weights of the corresponding assets in optimal portfolios.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses