An empirical application of Markowitz mean-variance theory in evaluating portfolio performance: Evidence from Vietnam’s VN30 equity constituents
Bibliographic record
Abstract
This study explores the application of Markowitz's Modern Portfolio Theory (Mean-Variance Theory) under a no short-selling constraint in Vietnam's stock market, focusing on the VN30 index from 2012 to 2024. It compares three investment strategies: (A) naive 1/N allocation, (B) Markowitz optimization targeting the same standard deviation as strategy A, and (C) Markowitz optimization maximizing the Sharpe ratio. The findings reveal that strategy C significantly outperforms cumulative returns and risk-adjusted performance, demonstrating that when properly adjusted, the Markowitz model can still generate alpha in emerging markets like Vietnam. However, the study emphasizes prudent risk management and warns against overreliance on theoretical Optimization without considering market realities.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.029 | 0.010 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.007 |
| Science and technology studies | 0.000 | 0.001 |
| Scholarly communication | 0.000 | 0.003 |
| Open science | 0.003 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; both teacher heads agree on what is shown here.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".