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SIMULATION OF PORTFOLIO RETURNS: VARYING NUMBERS OF SECURITIES AND HOLDING PERIODS

 

作者: William P. Lloyd,   Steven J. Goldstein,  

 

期刊: Journal of Financial Research  (WILEY Available online 1982)
卷期: Volume 5, issue 1  

页码: 27-38

 

ISSN:0270-2592

 

年代: 1982

 

DOI:10.1111/j.1475-6803.1982.tb00623.x

 

数据来源: WILEY

 

摘要:

AbstractVariability may be measured around the long‐run market return by combining the well‐developed area of security diversification with the notion of time diversification. This non‐traditional concept of diversifiable risk is illustrated with results of a very large scale simulation. The results are very general since the data used in the simulation consist of all firms on the Center for Research in Security Prices (CRSP) monthly return file from January 1926 through December

 

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