Abstract :
The main purpose of this research is to investigate the portfolio allocation problem in the stock exchange of Thailand (SET) by considering the stocks of the 5 companies in terms of market capitalization, including AOT, ADVANC, CPALL, DELTA and GULF. This study determines the set of stocks as well as their quantities that the investor should invest in under the mean-variance criterion with the requirement that an investor wants to invest in only 3 assets. The prices of the stocks at the terminal time are assumed to be independent and follow the binomial model.
Keywords : Binomial model, Markowitz’s model, Portfolio selection, Efficient frontier, SET