Search Results - subject:"efficient portfolio frontier"

ПОСТРОЕНИЕ ГРАНИЦЫ МАРКОВИЦА МЕТОДОМ КУСОЧНО-НЕЛИНЕЙНОЙ АППРОКСИМАЦИИ

КРИНИЧАНСКИЙ К.В.; БЕЗРУКОВ А.В. - In: Корпоративные финансы Journal of … (2014) 3, pp. 114-127

В работе изложен подход к осуществлению аппроксимации границы допустимого множества портфелей в координатах (доходность, СКО). Авторы показали, что...

Persistent link: https://www.econbiz.de/10011246857

Holding a commodity futures index fund in a globally diversified portfolio: A placebo effect?

Cao, Bolong; Jayasuriya, Shamila; Shambora, William - In: Economics Bulletin 30 (2010) 3, pp. 1842-1851

An increasing number of investors are including futures-based commodity index funds in their portfolios. The argument is that these funds increase diversification, enhance returns and serve as an inflation hedge. Much of the recent literature served to reinforce these ideas. We update the...

Persistent link: https://www.econbiz.de/10008596626

Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach

Necula, Ciprian - In: Journal for Economic Forecasting (2010) 3, pp. 93-106

portfolio frontier using as a risk measure CVaR (Conditional VaR) computed by Monte Carlo simulation. We find that in the case … financial return series. With the dependency structure given by the estimated copula functions we quantify the efficient …

Persistent link: https://www.econbiz.de/10008685120