Applications in Finance

Wolfgang Karl Härdle and Leopold Simar
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Wolfgang Karl Härdle: Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics

Chapter Chapter 19 in Applied Multivariate Statistical Analysis, 2015, pp 487-499 from Springer

Abstract: 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.

Keywords: Risky Asset; Asset Return; Capital Asset Price Model; Portfolio Weight; Portfolio Choice (search for similar items in EconPapers)
Date: 2015
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Chapter: Applications in Finance (2024)
Chapter: Applications in Finance (2019)
Chapter: Applications in Finance (2003)
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DOI: 10.1007/978-3-662-45171-7_19

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