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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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