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Optimality criteria for comparing efficient portfolios

 

作者: JATIK. SENGUPTA,  

 

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

页码: 2337-2347

 

ISSN:0020-7721

 

年代: 1987

 

DOI:10.1080/00207728708967190

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A set of criteria for comparing efficient portfolios is critically reviewed here to show the inadequacy of the standard mean variance criterion used in traditional portfolio theory. These criteria emphasize, among other things, the following: (a) robustness, (b) multivariate distance as a measure of dissimilarity, and (c) diversity as an entropy measure related to information theory.

 

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