Study of the Constraints That May Exist In the Efficient Placement of Securities Portfolios on the Capital Market

Anghelache A, Anghel GM, Capusneanu S and Iacob VS

Published on: 2021-04-19


The investor sets up a fund at the beginning, after which he considers the securities he considers, creating a portfolio that he wants to be as efficient as possible. Thus, there are different situations that can be solved by an econometric model, which also through the vision of great specialists in this field such as Akaike or Markowitz and others, have given meaning to this theory, concretely fixing how they can be effective. The situations that the authors use to highlight the conditions under which an efficient portfolio is ensured are based on the construction variables of the model, these being mainly the securities considered or the securities we consider, the market risk to which the whole is exposed activity in the capital market and also the possibility of estimating the return with which this placement of the respective securities will be completed. In the activity of the capital market, in the placement of securities portfolios there are also some constraints, which determine a certain conduct of the investor. Considering several constraints determines a much more relevant analysis, performed by mathematical programming and then from the results obtained as a result of solving these models that lead to estimates that are consistent with the situation.


Portfolios; Securities; Capital Market; Variables; Econometric Models


The issue of the constraints that may exist in judging the efficiency with which securities portfolios are placed must be well defined. The article considers several variants from which the validity of the econometric models recommended for use can be deduced. A number of simple examples are presented for the easy perception of the concept of econometric model used in establishing efficient portfolios, which of course can be developed, extended, accurately and in the case of other portfolio values, as most portfolio analysis situations are complicated and often presents or causes reservations on the part of investors in making estimates based on them. Building an efficient portfolio is the option in which the investor can use his own resources, can use borrowed resources or can use other values that give meaning to the thinking of the investor. The return is estimated on the basis of regression parameters, which can be calculated by a linear or non-linear regression model and based on which profitability can be forecast, which can be achieved by placing those portfolios on the capital market. In the article, the authors presented a series of graphs that show how securities portfolios can be effectively placed on the capital market.