Applications in Finance

Wolfgang Karl Härdle and Zdeněk Hlávka
Additional contact information
Wolfgang Karl Härdle: Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics
Zdeněk Hlávka: Charles University in Prague, Faculty of Mathematics and Physics Department of Statistics

Chapter Chapter 19 in Multivariate Statistics, 2015, pp 309-317 from Springer

Abstract: Abstract Multivariate statistical analysis is frequently used in quantitative finance, risk management, and portfolio optimization. A basic rule says that one should diversify in order to spread financial risk. The question is how to assign weights to the different portfolio positions. Here we analyze a so-called mean-variance optimization that leads to weights that minimize risk given a budget constraint. Equivalently, we may optimize the weights of a portfolio for maximal return given a bound on the risk structure. The discussion naturally leads to links to the capital asset pricing model (CAPM).

Keywords: Portfolio Optimization; Variance Matrix; Asset Return; Market Index; Capital Asset Price Model (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-36005-3_19

Ordering information: This item can be ordered from
http://www.springer.com/9783642360053

DOI: 10.1007/978-3-642-36005-3_19

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().