A Constrained Approach to Mean-variance Portfolio Construction Applied to Assets from the TSE 35 Index
Auteur : Derrick Wong
Date de publication : 1995
Éditeur : Concordia University
Nombre de pages : 174
Résumé du livre
Constructs a portfolio based on assets from the TSE 35 Index. Measures the performance of this portfolio against the TSE Index returns. Aims to create a stable set of trading rules from a user's perspective, while gaining increased returns with lower variability.