An Empirical Investigation on Portfolio Management Problem with Mean-Risk Model in Malaysia Stock Market

Portfolio management is an investment strategy that used to minimize the portfolio risk. The mean-variance model is the mean-risk model that has been proposed in portfolio management to minimize the portfolio risk and can achieve the expected rate of return. The objective of this paper is to construct the optimal mean-variance portfolio by using the data in Malaysia stock market. The results of this study show that the portfolio compositions of stocks in the optimal mean-variance portfolio are different. Furthermore, the mean-variance model can minimize the portfolio risk at certain level rate of return. It indicates that the mean-variance model is applicable for investment in Malaysia stock market. This study is significant because the portfolio management problem is investigated in Malaysia stock market by using the mean-variance model. The optimal allocation of stocks can be determined with the mean-variance model.