Quadratic Investment Principles

• 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

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