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.
点击下载:
PDF (551KB)
返 回