Abstract
A portfolio is a linear combination of assets. Each asset contributes with a weight c j to the portfolio. The performance of such a portfolio is a function of the various returns of the assets and of the weights \(c = (c_{1},\ldots,c_{p})^{\top }\). In this chapter we investigate the “optimal choice” of the portfolio weights c. The optimality criterion is the mean-variance efficiency of the portfolio. Usually investors are risk-averse, therefore, we can define a mean-variance efficient portfolio to be a portfolio that has a minimal variance for a given desired mean return.
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References
Franke, J., Härdle, W., & Hafner, C. (2011). Introduction to statistics of financial markets (3rd ed.). Heidelberg: Springer.
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Härdle, W.K., Simar, L. (2015). Applications in Finance. In: Applied Multivariate Statistical Analysis. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-45171-7_19
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DOI: https://doi.org/10.1007/978-3-662-45171-7_19
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Online ISBN: 978-3-662-45171-7
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