CONSTRUCTION OF A MINIMUM RISK PORTFOLIO BASED ON MARKOWITZ PORTFOLIO THEORY. APPLICATION ON MONGOLIAN STOCK EXCHANGE

Abstract

All investors want minimizing risk with maximizing return. Considering the

tradeoffs between risk and return, Harry Markowitz, an American financial economist,

proposed the so-called Modern Portfolio Theory in 1952. The goal of this paper is to

provide a practical study of Markowitz model on the Mongolian stock market. From

the data inputs which are daily closing prices of stocks that 3 classifications of each 8

Mongolian joint-stock companies (randomly chosen) stocks traded on Mongolian Stock

Exchange between 1st of January 2009 to 31st December 2018. As a result, we can see

which classification of Mongolian joint-stock companies have higher return with lower

risk.