ListarGrau en Finances i Comptabilitat por tema "mean-variance approach"
Mostrando ítems 1-2 de 2
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Portfolio optimization: Markowitz approach vs expected shortfall as risk measure.
Universitat Jaume I (2019-07)The objective of this study is to compare the optimal portfolios obtained under two risk measures. On the one hand, under the risk measure used by the Markowitz approach (1952, 1959). On the other hand, under the measure ... -
Selection of portfolios that minimise the variance of the estimated beta for efficient portfolios in Markowitz's sense
Universitat Jaume I (2019-06-13)The work that we present below is the practical application of the model proposed by McInish et al. (1984), where the main objective is to find a portfolio of risky assets – formed by individual asset weights – that minimizes ...