Comparison analysis of copula-based and Markowitz portfolio methods
In this paper, the objects of study are securities (stocks) and portfolio. The main problem of the study is portfolio optimization. One of the first portfolio methods was presented by Henry Markowitz with his Modern Portfolio Theory (MPT), which is considered as a classic and the most popular one i...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
PC Technology Center
2016-07-01
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| Series: | Tehnologìčnij Audit ta Rezervi Virobnictva |
| Subjects: | |
| Online Access: | http://journals.uran.ua/tarp/article/view/75572 |