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Anomalies in asset prices due to the use of Markowitz portfolio theory
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.