Portfolio selection from American stocks by mean-variance optimization method

• Main Authors: Fu-jing Chen, 陳富敬
• Other Authors: 繆維正
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/80824603275293173008

碩士 === 國立中央大學 === 統計研究所 === 95 === There are many investment choices in the financial markets available to all kinds of investors, likes stocks, bonds, certificate of deposit, and so on. The historical data of the preceding products are also available. Therefore, it is an important topic to determine the components of one''s portfolio in order to maximize one''s mean return and to minimize one''s risk. We consider an investor selecting her portfolio from American stocks and one risk-free asset by mean-variance optimization method proposed by Markowitz (1952).Empirical analysis is presented.