2026-10-15T15:32:38Z https://data.mendeley.com/oai

oai:data.mendeley.com/54zffp535h.2 2026-06-16T23:58:23Z

Bednarz, Krzysztof Sharpe ratio and the Inverse Coefficient of Variation in the Markowitz Portfolio Mendeley Data In classical Markowitz portfolio analysis, assets with a correlation coefficient close to 0 are usually used to construct an investment portfolio. Monthly, weekly, or daily data are also utilized. The author’s trading experience in the Forex market suggests that a more efficient Markowitz portfolio can be constructed using a time frame of 15 minutes. This is also possible when assets are selected for the portfolio using the Sharpe ratio and/or the inverse coefficient of variation (ICV). This study aims to test the efficiency of such portfolios. To achieve the aim of the study, 20 currency pairs in the Forex market were analysed, from which all possible portfolios of two assets were created according to the Markowitz concept. The study was conducted in the Forex market over one trading week using a time frame of 15 minutes at 29 different time points (hours selected at random across the whole week). In total, 5,510 portfolios of two assets were created and analysed. Investment Portfolio Analysis Dataset doi:10.17632/54zffp535h.2 oai:data.mendeley.com/54zffp535h.2 Attribution Noncommercial Noderivs 4.0 International https://creativecommons.org/licenses/by-nc-nd/4.0/ https://data.mendeley.com/datasets/54zffp535h 2026-06-16T23:58:23Z 2026-09-16T23:59:59Z