Xavier saynac (7 risultati)
Lingua: Inglese
Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
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Da: Books Puddle, New York, NY, U.S.A.Books Puddle
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EUR 76,00
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Condizione: New. pp. 56.
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Da: preigu, Osnabrück, Germaniapreigu
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EUR 43,40
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Taschenbuch. Condizione: Neu. Improving the performance of investing strategies | Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy | Xavier Saynac | Taschenbuch | 56 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783845404837 | Verantwortliche Person für die… EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu.
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermaniaBuchWeltWeit Ludwig Meier e.K.
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve 1/n portfolio , that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lor…enzo Garlappi, and Raman Uppal in the paper Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy . Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon. 56 pp. Englisch.
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Da: AHA-BUCH GmbH, Einbeck, GermaniaAHA-BUCH GmbH
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EUR 50,94
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve 1/n portfolio , that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenzo…Garlappi, and Raman Uppal in the paper Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy . Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon.
Lingua: Inglese
Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
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Da: Majestic Books, Hounslow, Regno UnitoMajestic Books
Contatta il venditoreVenditore con 4 stelleCondizione: Nuovo
EUR 76,16
EUR 7,57 spedizioneSpedito da Regno Unito a U.S.A.Quantità: 4 disponibili
Condizione: New. Print on Demand pp. 56 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam.
Lingua: Inglese
Editore: VDM Verlag Dr. Mueller Aktiengesellschaft & Co. KG, 2011
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Da: Biblios, frankfurt am main, HESSE, GermaniaBiblios
Contatta il venditoreVenditore con 4 stelleCondizione: Nuovo
EUR 78,88
EUR 9,95 spedizioneSpedito da Germania a U.S.A.Quantità: 4 disponibili
Condizione: New. PRINT ON DEMAND pp. 56.
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germaniabuchversandmimpf2000
Contatta il venditoreVenditore con 5 stelleCondizione: Nuovo
EUR 49,00
EUR 60,00 spedizioneSpedito da Germania a U.S.A.Quantità: 1 disponibili
Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -In this paper, we evaluate the performance of different mean-variance portfolios, relative to the naïve '1/n portfolio', that is investing equally on each of n assets. A similar research was already conducted by Victor DeMiguel, Lorenz…o Garlappi, and Raman Uppal in the paper 'Optimal versus Naive Diversification: How Inefficient Is the 1/n Portfolio Strategy '. Nevertheless, we show that using a risk calibration and different test statistic to measure portfolio performance, we reach very different conclusions. We indeed show that Markowitz does outperform the naïve 1/n portfolio and we present a method to maximize the out-of-sample performance of the Markowitz portfolio. We also show that when we add some maximum rebalancing constraints on the asset weights, the Markowitz model still outperforms the 1/n portfolio, and in addition becomes very robust. Finally, we apply this constrained mean-variance method to show that any portfolio can be improved upon.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 56 pp. Englisch.
