Disadvantages of the model of Markowitz’s optimal portfolio in the conditions of short-term investments

Abstract

Purpose : to identify the main features of the model of Markowitz’s optimal portfolio, to highlight the existing modifications of the theory, to cite evidence of a model inadequacy for micro-portfolios. Discussion : the question of optimal portfolio’s constructing is a task whose solution has many approaches. One of the most well-known approaches is the model of the optimal portfolio of Markowitz. However in the course of a deeper analysis of the model from the point of view of short-term investment, it can be concluded that the proposed model has a number of features that affect its applicability in the design of optimal portfolios. Results : The author identified the main shortcomings of the Markowitz model, examined the existing ways of their optimization, identified a number of problems that are typical for building micro-portfolios.