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Improving the performance of investing strategies - Xavier Saynac
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Xavier Saynac:

Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: f3ded5894a48d9b5ed4cab97cb9f932d

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy 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. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8454-0483-7, LAP Lambert Academic Publishing

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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)

Xavier Saynac:

Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: 694367437

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. Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Academic Publishing

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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)
Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: f3ded5894a48d9b5ed4cab97cb9f932d

Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy 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. Bücher / Fremdsprachige Bücher / Englische Bücher 978-3-8454-0483-7, LAP Lambert Acad. Publ.

Nouveaux livres Buch.de
Nr. 29478536 Frais d'envoiBücher und alle Bestellungen die ein Buch enthalten sind versandkostenfrei, sonstige Bestellungen innerhalb Deutschland EUR 3,-, ab EUR 20,- kostenlos, Bürobedarf EUR 4,50, kostenlos ab EUR 45,-, Sofort lieferbar, DE. (EUR 0.00)
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Improving the performance of investing strategies - Xavier Saynac
Livre non disponible
(*)
Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: 182450075

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. Utilizing a mean-constrained variance approach to improve the performance of any given investing strategy Buch (fremdspr.) Bücher>Fremdsprachige Bücher>Englische Bücher, LAP Lambert Acad. Publ.

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Improving the performance of investing strategies - Xavier Saynac
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Xavier Saynac:
Improving the performance of investing strategies - nouveau livre

ISBN: 9783845404837

ID: d6aaed1d3065a33def682f55e5e90b22

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. Bücher / Sozialwissenschaften, Recht & Wirtschaft / Wirtschaft

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Détails sur le livre
Improving the performance of investing strategies
Auteur:

Saynac, Xavier

Titre:

Improving the performance of investing strategies

ISBN:

9783845404837

Informations détaillées sur le livre - Improving the performance of investing strategies


EAN (ISBN-13): 9783845404837
ISBN (ISBN-10): 3845404833
Version reliée
Livre de poche
Date de parution: 2011
Editeur: AV Akademikerverlag GmbH & Co. KG.

Livre dans la base de données depuis 17.07.2009 17:34:07
Livre trouvé récemment le 27.11.2016 11:14:11
ISBN/EAN: 9783845404837

ISBN - Autres types d'écriture:
3-8454-0483-3, 978-3-8454-0483-7

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