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An Empirical Comparison of Different Approaches in Portfolio Selection
Company: Uppsala University, Department of Mathematics
Year Of Publication: 2012
Month Of Publication: May
Pages: 49
Download Count: 2
View Count: 1156
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 8-23-2012
Publisher: Administrator
Summary
There are two parts in this paper, the rst one is about using factor analysis method to evaluate the performance of individual asset. Afterwards, according to the composite score, ten stocks based on Shanghai Securities Composite Index 50 will be chosen for the portfolio optimization. The second part focuses on three methods for optimal portfolio selection, i.e. Mean-Variance method, MCD Robusti ed Mean-Variance Method and Mean-CVaR method. The purpose of this paper is to discuss and compare the portfolio compositions and performance of three di erent approaches in portfolio optimization.
Author(s)
Hu, Jiaqun Sign in to follow this author
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