search query: @author Kwan, C.C.Y. / total: 1
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| Author: | Chamberlain, T.W. Cheung, C.S. Kwan, C.C.Y. |
| Title: | Optimal Portfolio Selection Using the General Multi-Index Model: A Stable Paretian Framework |
| Journal: | Decision Sciences
1990 : Summer, VOL. 21:3, p. 563-571 |
| Index terms: | PORTFOLIO MANAGEMENT INVESTMENT DIVERSIFICATION |
| Language: | eng |
| Abstract: | The paper investigates the problem of optimal portfolios using a general multi -index model. The model allows investors to diversify across different types of assets and thereby exploit or hedge against a variety of conditions. A stable Paretian framework is used, with or without short sales. It is not only encompasses the mean-variance results for several models, but also provides a framework for applying arbitrage theory to portfolio analysis. |
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