Risk Estimation, Diversification, and Optimal Weights

Cheng Few Lee

Chapter 56 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 1795-1833 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The main purposes of this chapter are (i) to discuss risk classification and estimation; (ii) to show how to use minimum-variance and Sharpe performance measure approach to estimate optimal weights for a two-security portfolio; (iii) to discuss applications of performance measures; and (iv) to use concepts discussed in this chapter to show how banking lending rate can be estimated.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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