A Quantitative Risk Optimization of Markowitz Model : An Empirical Investigation on Swedish Large Cap List
This paper is an empirical study on Harry Markowitz work on Modern Portfolio Theory. The model introduced by him assumes the normality of assets’ return. We examined the OMX Large Cap List1 by mathematical and statistical methods for normality of assets’ returns. We studied the effect of the paramet...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
Mälardalens högskola, Institutionen för matematik och fysik
2007
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-333 |