Efficient Frontier - Comparing Different Volatility Estimators

Article English OPEN
Tea Poklepović; Zdravka Aljinović; Mario Matković;
(2015)

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
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