Seminar_investments

In this study, we examined whether an efficient portfolio, with a higher return than the market portfolio for the same standard deviation, of stocks in Israel show good results from the market portfolio in terms of the Sharpe Index for subsequent years (out- sample-of.) In our study we based on the article of (2007 Kritzman & Adler) and performed -Full Optimization Scale for stocks traded in Tel Aviv and compared the results of the test portfolio to Against the TA 125 index. The measurement was made for the period 2020.05.27-2015.05.27 .In the study, We compared the results of the optimization to "naive" results according to the expectation-variance model of the index TA 125. The results we received are the test case, according to the Scale-Full optimization presented results Better in 3 of the 4 years tested. The reason for this, in our opinion, lies in the larger dispersion of a portfolio It is across both large and small stocks. In addition, we found that the Sharp index is a problematic index to measure Quality portfolio portfolios for declining markets.