首页   按字顺浏览 期刊浏览 卷期浏览 Comparative efficiency of investment portfolios: linear and non-linear frontiers
Comparative efficiency of investment portfolios: linear and non-linear frontiers

 

作者: JATIK. SENGUPTA,   RAYMONDE. SFEIR,  

 

期刊: International Journal of Systems Science  （Taylor Available online 1987）
卷期: Volume 18, issue 12  

页码: 2305-2319

 

ISSN:0020-7721

 

年代: 1987

 

DOI:10.1080/00207728708967188

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A comparative evaluation is performed empirically for two portfolio efficiency frontiers based on mutual funds over 1945-64 and 1965-83. One is the linear capital market line and the other is a non-linear mean variance frontier. Evidence points to the superiority of the estimated non-linear efficiency frontier over the linear frontier in terms of econometric and other criteria.

 

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