Efficient Frontier - Comparing Different Volatility Estimators
Tea Poklepović; Zdravka Aljinović; Mario Matković;
Related identifiers: ,
- Subject: Variance | lower semi-variance | range-based volatility.
Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as ... View more