Comparison of Markowitz Model and Single-Index Model on Portfolio Selection of Malaysian Stocks

Our article is focused on the application of Markowitz Portfolio Theory andthe Single Index Model on 10-year historical monthly return data for 10 stocksincluded in FTSE Bursa Malaysia KLCI, which is also our market index, as wellas a risk-free asset which is the monthly fixed deposit rate. We will calculatethe minimum variance portfolio and maximum Sharpe portfolio for both theMarkowitz model and Single Index model subject to five different constraints,with the results presented in the form of tables and graphs such thatcomparisons between the different models and constraints can be made. We hopethis article will help provide useful information for future investors who areinterested in the Malaysian stock market and would like to construct anefficient investment portfolio. Keywords: Markowitz Portfolio Theory, SingleIndex Model, FTSE Bursa Malaysia KLCI, Efficient Portfolio