An efficient and effective portfolio provides maximum return potential with minimum risk by choosing an optimal balance among assets. Therefore, the objective of this study is to analyze the performance of optimized portfolios in minimizing risk and achieving maximum returns in the dynamics of Timor-Leste’s equity portfolio in the international capital market for the period from January 2006 to December 2019. The empirical findings of this study indicate that the correlation matrix showed that JPM has a very strong positive correlation with one of the twenty assets, namely BAC (0.80). Moreover, the optimal portfolio of the twenty stocks exceeding 10% consists of four consecutive stocks, namely DGE.L (10.69%), NSRGY (10.37%), JPM (10.04%), and T (10.03%). In addition, the minimum portfolio consists of two stocks with a minimum variance of more than 10%, namely SAP.DE (11.20%) and DGE.L (10.39%). The evaluation of the optimal portfolio using Markowitz parameters also showed that the highest expected return and the lowest risk were 1.22% and 3.12%, respectively.

中文翻译：

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股票市场上东帝汶投资组合投资策略的投资组合优化测试

高效且有效的投资组合通过选择资产之间的最佳平衡，以最小的风险提供最大的回报潜力。因此，本研究的目的是分析2006年1月至2019年12月期间东帝汶股票投资组合在国际资本市场动态中优化投资组合在最小化风险和实现最大回报方面的表现。这项研究表明，相关矩阵显示 JPM 与 20 种资产之一，即 BAC (0.80) 具有非常强的正相关性。此外，超过10%的20只股票的最优投资组合由连续4只股票组成，分别是DGE.L（10.69%）、NSRGY（10.37%）、JPM（10.04%）和T（10.03%）。此外，最小投资组合由两只方差最小超过10%的股票组成，即SAP.DE（11.20%）和DGE.L（10.39%）。利用马科维茨参数对最优投资组合的评估也表明，最高预期收益和最低风险分别为1.22%和3.12%。