haku: @author Lee, S. / yhteensä: 32
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| Tekijä: | Lee, S. Chang, K.-P. |
| Otsikko: | Mean-variance instability portfolio analysis: a case of Taiwan's stock market |
| Lehti: | Management Science
1995 : JUL, VOL. 41:7, p. 1151-1157 |
| Asiasana: | MANAGEMENT TAIWAN STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This paper applies Talpaz, Harpaz, and Penson's (THP) (1983) mean-variance-instability portfolio selection model to eight selected Taiwan stocks during 1980-89 to demonstrate how instability preference affects the traditional mean-variance frontier. In contrast to THP's finding, the empirical results show that Taiwan's high-frequency stocks have high, not low , variance. This indicates that Taiwan investors, unlike U.S. investors, prefer to speculate in high-variance stocks. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred. |
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