THE EVALUATION OF MODERN PORTFOLIO THEORY

Abstract

The objective of this thesis is to discuss the strategy of asset allocation in perspective of quantitative approach through the practical application based on the Modern Portfolio Theory. This discussion is required in order to learn whether the optimal portfolios constructed on the theory formulate the best allocation. In this paper, readers will have the overall information about the role of asset allocation and general knowledge about Modern Portfolio Theory. The outcomes of the model and element are discussed and evaluated and will be a good source to be referred. The empirical result show that the portfolio model can be modified so it is useful to be used as an investment portfolio strategy under some circumstances. Last but not least, the author will emphasize some significant improvement suggestion at the end of the paper.