Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

portfolio optimization sign in to follow this
CVaR sign in to follow this
equities sign in to follow this
robust estimation sign in to follow this

VaR Uses sign in to follow this
--Portfolio Optimization sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
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: 1260
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 8-23-2012
Publisher: Administrator
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.
Hu, Jiaqun Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile