Measuring portfolio efficiency: a critique
作者:
JATIK. SENGUPTA,
期刊:
International Journal of Systems Science
(Taylor Available online 1990)
卷期:
Volume 21,
issue 3
页码: 511-525
ISSN:0020-7721
年代: 1990
DOI:10.1080/00207729008910384
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The concept of mean variance efficiency widely used in portfolio theory of modern finance is examined here in terms of (a) its limitations in statistical and empirical applications and (b) the alternative non-parametric measures. The non-parametric measures and tests of portfolio efficiency raise some of the most fundamental issues of modern financial economics today and these are shown to have valuable implications for the theory of capital market efficiency.
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