Can a Statistical Understanding of Markowitz Mean Variance Efficiency Improve Portfolio Optimisation for U.K. Equities?Tools Pugh, Charles J. (2009) Can a Statistical Understanding of Markowitz Mean Variance Efficiency Improve Portfolio Optimisation for U.K. Equities? [Dissertation (University of Nottingham only)] (Unpublished)
AbstractThis paper seeks to develop a better statistical understanding of the paradigm of Markowitz mean variance optimisation by investigating the inherent variability and limitations of the process. Then testing some of the proposed techniques to improve the performance of the optimiser in selecting portfolios which not only have investment value, but also make prude investment sense to the user.
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