Volume 14 Issue 1

This paper examines financial portfolio optimization by applying the Post-Modern Portfolio Theory (PMPT) to the Romanian capital market. The study is based on a sample of five representative companies included in the BET Index of the Bucharest Stock Exchange: Nuclearelectrica, Hidroelectrica, BRD – Groupe Société Générale, Digi Communications N.V., and Fondul Proprietatea. These companies were selected based on their high liquidity and representation of different economic sectors, both of which are essential for portfolio diversification and for ensuring continuous and comparable data series. The analysis employs a sample of 252 daily observations covering the period from 18 December 2024 to 30 December 2025. The research applies an extension of the Markowitz model based on the mean–semivariance behavioral hypothesis, focusing on downside risk rather than the traditional mean–variance framework. Accordingly, downside deviation, semivariance, and semicovariance were calculated for the selected financial assets in order to construct the semivariance-semicovariance matrix. The optimal asset weights were determined using the Lagrange multiplier method, resulting in the construction of two portfolio types: the minimum-risk portfolio and the efficient portfolio corresponding to a target expected return. Portfolio performance was also evaluated using the Sortino ratio. The results indicate that portfolio composition is directly influenced by the risk–return trade-off and confirm the applicability of Post-Modern Portfolio Theory to the Romanian capital market. Furthermore, the analysis highlights the importance of diversification and the role of defensive assets in reducing investment risk.