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.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsReferences
Franke, J., Härdle, W., & Hafner, C. (2011). Introduction to statistics of financial markets (3rd ed.). Heidelberg: Springer.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2015 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
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
Download citation
DOI: https://doi.org/10.1007/978-3-662-45171-7_19
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-45170-0
Online ISBN: 978-3-662-45171-7
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)