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Abstract:
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The preparatory part of the dissertation, which leads to the basic one, is based on return-variance parameters that represent two key random variables of the model devised by Markowitz. The research used historical data that in themselves reflect all available information absorbed by the financial market, and therefore, we can consider them not only homogeneous but also absolute (for reasons of realization). Therefore, an analytical procedure of approximation by a sixth-degree polynomial was performed on such data, which represent combinations of values of average returns and variances of portfolio returns, thus establishing a relation that is explicitly expressed by an algebraic sixth-degree polynomial equation. After that, further analytical procedure determined the conditions for the existence of both the minimum and the tangent portfolio and redefined the terms: efficient portfolio set, preference toward risk, risk aversion, and indifference line. The central topic of the dissertation, the revision of Tobin 's separation theorem, is formulated and proved through three theorems, one basic and two auxiliary. |