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Review Article

EJMS. 2017; 22(1): 3-23


MARKOWITZ EFFICIENT FRONTIER AND CAPITAL MARKET LINE – EVIDENCE FROM THE PORTUGUESE STOCK MARKET

Maria Teresa Medeiros Garcia, Daniel Bourdain Borrego.

Abstract
This article estimates the efficient frontier and the capital market line using listed stocks of the Portuguese capital market that are part of the PSI20 index, considering two different periods, before and after the 2008 financial crisis. The results show the strong impact of the 2008 financial crisis on the global minimum variance portfolio and on the market portfolio, with surprising conclusions. The sensitivity of the results to the inclusion or not of the year 2008 is also considered and remarkable.

Key words: Markowitz portfolio theory. Mean-variance theory. Efficient Frontier. Capital Market Line. PSI20


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