Alternative Prices Under Markowitz’s Portfolio Model for FOREX Transactions

PURPOSE: In Markowitz’s traditional portfolio analysis, only the close price is used to build an investment portfolio. This type of price is commonly regarded as an axiom. As such, this article aims to prove that the close price is not the best type of price. Using the close price means that a portfolio which appears optimal is far from it. Under certain assumptions, it can be demonstrated that the close price should not be used.

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Publication Details

Journal
EUROPEAN RESEARCH STUDIES JOURNAL
Published
2025-05-01
DOI
https://doi.org/10.35808/ersj/4023
Primary Topic
Capital Investment and Risk Analysis
Type
article
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article

Alternative Prices Under Markowitz’s Portfolio Model for FOREX Transactions

Krzysztof Bednarz
EUROPEAN RESEARCH STUDIES JOURNAL
Capital Investment and Risk Analysis
article

Alternative Prices Under Markowitz’s Portfolio Model for FOREX Transactions

Krzysztof Bednarz
article en

Abstract

PURPOSE: In Markowitz’s traditional portfolio analysis, only the close price is used to build an investment portfolio. This type of price is commonly regarded as an axiom. As such, this article aims to prove that the close price is not the best type of price. Using the close price means that a portfolio which appears optimal is far from it. Under certain assumptions, it can be demonstrated that the close price should not be used.

EUROPEAN RESEARCH STUDIES JOURNALVol. XXVIII(Issue 2)
Decent work and economic growth
Openalex Percentile: Top 76%
Capital Investment and Risk Analysis
DOIOpen Access PDFOpenAlex
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Alternative Prices Under Markowitz’s Portfolio Model for FOREX Transactions — Krzysztof Bednarz · EUROPEAN RESEARCH STUDIES JOURNAL (2025) | TGRS Research Map | TGRS