• Out-of-Stock

Outliers and Portfolio Optimization [extrait BMI 72]

Author : Charles Amélie
Add to wishlist

Version numérique PDF

he asset allocation problem was first adressed by Markowitz (1952) in a framework that considers the risk-return trade-off. In the Markowitz model, a probability distribution of security prices is assumed to be known and the return of any portfolio is quantified as its expected value (mean) and its risk as its variance 1 . These mathematical representations of return and risk have allowed optimization tools to be applied to the studies of portfolio management. According to the author, one can derive the minimum investment risk by minimizing the variance of portfolio, or for a given risk level which the investor can tolerate one can derive the maximum return by maximizing the expected returns of a portfolio(...)

Auteurs :Charles Amélie
Extrait de la revue BMI 72


16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock


  • Is Corporate Bond Market Performance Connected with Stock Market Performance?
  • Ownership Structures and Agency Problems: THE FRENCH BANKS CASE
  • A Caviar Time-Varying Proportion Portfolio Insurance
  • SMEs Choice of Main Bank and Organizational Structure: THE ROLE OF SOFT INFORMATION AND OF CREDIT RA
This website uses cookies to ensure you get the best experience on our website