• Rupture de stock

Outliers and Portfolio Optimization [extrait BMI 72]

Author : Charles Amélie
50,00 €
TTC
Quantité
Add to wishlist
Rupture de stock

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

BMI72-1097642
Nouveau

16 autres produits dans la même catégorie :

This website uses cookies to ensure you get the best experience on our website