Portfolio Management: An investigation of the implications of measurement errors in stock prices on the creation, management and evaluation of stock portfolios, using stochastic simulations

In this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios. Using stochastic simulation techniques and the Markowitz Mean Variance approach in the creation of the weights of the various stocks of a portfolio, we conclude that measurement errors have significant implications on the efficiency of the management of a stock portfolio.

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Year of publication:	2009-03-26
Authors:	Tserkezos, Dikaios ; Thanou, Eleni Thanou
Institutions:	Department of Economics, University of Crete
Subject:	Markowitz Mean Variance \| Measurement Errors in Returns \| Stochastic Simulation

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Forthcoming in International Journal of Financial Economics and Econometrics (IJFEE) Number 0904 22 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005040040