1A Comparison of Risk Return Relationship in the Portfolio Selection Models

In this paper, we calculate four different kinds of means- AM, GM, HM, and GDM- to investigate the risk-return contour using Markowitz risk minimization and Sharpe’s angle maximization models. For a given k value (target portfolio return), the rank order of risk or variance-covariance (υ) can change. In the vertical segment of an efficient frontier curve, we observed v(GDM)> v(HM)> v(GM)> v(AM). At higher k values, the rank changes to v(GDM)> v(HM)> v(AM)> v(GM). That is to say, ranking a portfolio using different kinds of means may well give different rankings depending on what k value one is evaluating. It is also shown the harmonic mean should not be used in the case of a small negative growth rate in stock prices