What people are saying - Write a review
We haven't found any reviews in the usual places.
The MultiIndex Case
Realistic Portfolio Optimization
14 other sections not shown
algorithm analysis asset pricing model assume assumption balance-sheet adjustments bank beta capital asset pricing capital market CAPM cash flows coefficient computational constraints decision denote derived deviations distribution diversification economic efficient frontier efficient portfolios efficient set empirical estimates ex ante efficient expected return Fama folio fund separation Harry Markowitz holdings horizon industry inflation investment investors Journal of Finance linear programming lognormal lognormal distribution Management Science market equilibrium market index market portfolio Markowitz mean-variance mean/variance efficient Merton MIN-SAD Model multi-index multiperiod mutual funds nominal returns normal normal distribution optimal portfolio paper parameters portfolio choice portfolio selection portfolio theory price affectors problem quadratic quadratic programming random rate of return real returns Research residual risk residual variance risk averse riskless asset risky assets sample security returns stochastic stochastic dominance systematic risk theorem tion transaction returns transactions costs University utility function variables variance-covariance matrix vector wealth zero