Authors: | Loukeris, Nikolaos Donelly, D. Peng, Y. Khuman, A. |
Issue Date: | 1-May-2009 |
Journal: | Operational Research |
Volume: | 9 |
Issue: | 1 |
Keywords: | Efficient frontier, Heuristics, Portfolio management, Power and quadratic utility |
Abstract: | Optimal portfolio management under only mean and variance/covariance measures in Markowitz (J Finance 7(1):77–91, 1952; J Polit Econ:152–158, 1952) and Tobin (Rev Econ Stud 25:65–86, 1958; Econometrica 26(1):24–36, 1958) framework, is inefficient in real stock markets, as investors do not have quadratic utility functions, and returns are not normally, independently, and identically distributed. He... |
ISSN: | 1866-1505 1109-2858 |
DOI: | 10.1007/s12351-008-0028-0 |
URI: | https://uniwacris.uniwa.gr/handle/3000/2195 |
Type: | Article |
Department: | Department of Business Administration |
School: | School of Administrative, Economics and Social Sciences |
Affiliation: | University of West Attica (UNIWA) |
Appears in Collections: | Articles / Άρθρα |
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