Sökning: id:"swepub:oai:DiVA.org:kth-292731" >
Quadratic Investmen...
Abstract
Ämnesord
Stäng
- In this chapter, we present investment principles solely based on means and variances of asset returns and budget restrictions. To begin with, we only consider risky assets in the sense that the variances of the returns are strictly positive. We will then consider the more interesting situation where we also have the possibility to invest (or deposit) money in a risk-free asset.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
Nyckelord
- Asset Return
- Convex Optimization Problem
- Multivariate Normal Distribution
- Risky Asset
- Sharpe Ratio
Publikations- och innehållstyp
- ref (ämneskategori)
- kap (ämneskategori)
Hitta via bibliotek
Till lärosätets databas