Signed Rank Based Optimal Portfolio
碩士 === 國立中央大學 === 財務金融學系 === 107 === In the mean-variance model of Markowitz (1952), given the expected returns and covariance matrix of a set of stocks, investors can obtain the optimal weight on each stock. However, the estimates of expected returns and covariance matrix are very sensitive to outl...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ubxgt2 |