haku: @author Bey, R. P. / yhteensä: 7
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| Tekijä: | Burgess, R. C. Bey, R. P. |
| Otsikko: | Optimal portfolios: Markowitz full covariance versus simple selection rules |
| Lehti: | Journal of Financial Research
1988 : SUMMER, VOL. 11, No. 2, p.153-163 |
| Asiasana: | PORTFOLIO INVESTMENT SECURITIES QUANTITATIVE TECHNIQUES |
| Kieli: | eng |
| Tiivistelmä: | An empirical investigation into the validity of each step of the EGP solution procedure, to directly compare the approximate EGP efficient portfolio solution with the Markowitz full covariance efficient portfolio solution to determine the "price to pay" and a suggested procedure to obtain the Markowitz solution for many securities by combining the EGP and Markowitz procedures. Data and research methods. Empirical results and implications. Comparative portfolio performance. Three Tables and a Figure illustrate the study. |
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