Performance of Portfolios Optimized with Estimation Error: A Case Study of Taiwan 8 Sectors
碩士 === 國立屏東科技大學 === 財務金融研究所 === 97 === The mean-variance (M-V) model proposed by Markowitz (1952) is the foundation of modern portfolio theory. However, the M-V model could be biased in estimating the two parameters, mean and variance; this leads to the changes for the portfolio frontier and optimal...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/15259276794101577522 |