publication . Other literature type . Article . 2015

Efficient Frontier - Comparing Different Volatility Estimators

Poklepović, Tea; Aljinović, Zdravka; Matković, Mario;
Open Access English
  • Published: 02 Mar 2015
  • Publisher: Zenodo
Abstract
Modern Portfolio Theory (MPT) according to<br> Markowitz states that investors form mean-variance efficient<br> portfolios which maximizes their utility. Markowitz proposed the<br> standard deviation as a simple measure for portfolio risk and the<br> lower semi-variance as the only risk measure of interest to rational<br> investors. This paper uses a third volatility estimator based on<br> intraday data and compares three efficient frontiers on the Croatian<br> Stock Market. The results show that range-based volatility estimator<br> outperforms both mean-variance and lower semi-variance model.
Subjects
free text keywords: range-based volatility., Variance, lower semi-variance, range-based volatility.
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Zenodo
Other literature type . 2015
Provider: Datacite
ZENODO
Article . 2015
Provider: ZENODO
Zenodo
Other literature type . 2015
Provider: Datacite
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