Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange

Abstract

In this study, we present the Mongolian stock market’s performance post
phenomenal financial crisis of 2008-2009, opportunities to invest and the risks
problems. For analysis of the study, we used financial portfolio optimization
models with restricted structure, mathematical statistic methods and financial
methods. First, we considered about portfolio optimization in the Mongolian
Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety
first model. We used MSE weekly trading data chosen 50 most traded stocks out
of 237 stocks listed at the MSE between 2009 and 2013. We generated 50 weeks
mean-variance portfolio and safety first portfolio for 2014 and discussed. We
considered weekly investment in the MSE using mean-variance portfolio and
safety first portfolio. The mean-variance portfolio has the best performance of
weekly portfolio return with average weekly return and cumulative return. We
found stable portfolio against investing risk and did back-test the result. For
prospect investors in the MSE, we suggest invest and earn high return in the
MSE.