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On mean‐variance portfolio selection

 

作者: Jacques A. Schnabel,  

 

期刊: Managerial and Decision Economics  (WILEY Available online 1984)
卷期: Volume 5, issue 1  

页码: 3-6

 

ISSN:0143-6570

 

年代: 1984

 

DOI:10.1002/mde.4090050103

 

出版商: John Wiley&Sons, Ltd.

 

数据来源: WILEY

 

摘要:

AbstractTwo concepts are introduced in this paper, personal security market lines and personal betas of assets, and applied in a novel approach to optimal portfolio selection. The procedure is shown to be analogous to asset selection decision rules developed in the context of the capital asset pricing model. However, the statistical problems associated with the latter are not shared by the new procedure.

 

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