Application of Sharpe-Lintner-Mossin numerical method based on figures from Vietnam’s stock market in the 2000-2002 period

Abstract

Abstract In this article, we conduct the optimizing of a stock portfolio of five different stocks using numerical methods, with Vietnam market constraint of no short-selling. The outcome shows numerical solutions consisting of discrete points, significantly different from the analytics described by the theoretic parabolic curve of Markowitz. The underlying theory of this is the Sharpe-Lintner-Mossin model, with one risk-free asset, that is short-term government bond (one year). Our preference indicator for the selection of appropriate solutions is the coefficient tan(α), which is feasible to compute from the numerical solutions.