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...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2009
|
Online Access: | http://ndltd.ncl.edu.tw/handle/35291997590950323769 |