Classical Portfolio Management
Portfolio management is about gaining as much return as possible by keeping the risk under control. The return considered here is the expected return of the portfolio over the next holding period. As discussed in great detail in Part IV of this book, risk is also an estimator covering the next holding (or “liquidation”) period, i.e., a period lying in the future. Such estimators covering future time spans are sometimes called ex ante estimators.
KeywordsInternal Model Optimal Portfolio Risky Asset Excess Return Sharpe Ratio
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