Portfolio Management: An investigation of the implications of measurement errors in stock prices on the creation, management and evaluation of stock portfolios, using stochastic simulations

Dikaios Tserkezos () and Eleni Thanou Thanou ()
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Dikaios Tserkezos: Department of Economics, University of Crete, Greece
Eleni Thanou Thanou: Hellenic Open University

No 904, Working Papers from University of Crete, Department of Economics

Abstract: In this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios. Using stochastic simulation techniques and the Markowitz Mean Variance approach in the creation of the weights of the various stocks of a portfolio, we conclude that measurement errors have significant implications on the efficiency of the management of a stock portfolio.

Keywords: Markowitz Mean Variance; Measurement Errors in Returns; Stochastic Simulation. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp
Date: 2009-03-26
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Forthcoming in International Journal of Financial Economics and Econometrics (IJFEE)

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Persistent link: http://EconPapers.repec.org/RePEc:crt:wpaper:0904

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