Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Pradip Kumar Mitra, Edward Mascarenhas
| Year of publication: |
2021
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|---|---|
| Authors: | Mitra, Pradip Kumar ; Mascarenhas, Edward |
| Published in: |
International journal of business excellence : IJBEX. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-0055, ZDB-ID 2471986-9. - Vol. 25.2021, 4, p. 474-490
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| Subject: | BSE low volatility index | excess return to beta | Markowitz model | optimal portfolio | risk return trade-off | risk-averse | risk-aversion | Sharpe single index model | Sharpe's optimisation model | volatility anomaly | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | Risiko | Risk | Aktienindex | Stock index | CAPM | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Betafaktor | Beta risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJBEX.2021.119755 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012798425