Kontakt
Jak kupować
Dostawa
Doradca ds. zakupów
Let Portfolio Choose Its Own Funds
Angielski
120 b
Nawet do 30 dni na zwrot
Klienci kupili także
/
Miękka
92.79
zł
This study investigates the performance of the §weight optimization by comparing the performance of §the portfolios of fund of funds (FoF) constructed by §the Markowitz Mean-Variance (MV) model or Genetic §Algorithm (GA) to that of S&P 500 and that of equal §weight portfolio of Mutual funds. The chosen target §funds are denominated in U.S. dollar or euros, and §are chosen from the European market, United European §market, Emerging market, Pacific market, South Asia §market, Asia Pacific Zone market, American market, §and Global market. The study period started on §February 1, 1998 and ended on December 1, 2006.§In this thesis, we test whether the Genetic §Algorithm can beat the traditional Markowitz Mean-§Variance model or not. At last, we get some results §from empirical evidence. First, the Genetic §Algorithm model performs better than the Markowitz §Mean-Variance in performance measures of Sharpe, §Treynor and Jensen s alpha. Second, both the §Markowitz Mean-Variance model and Genetic Algorithm §can beat the equal weight portfolios. Finally, the §Markowitz Mean-Variance model and the Genetic §Algorithm are not better than market index §significantly.
Informacje o książce
Angielski
Podaruj tę książkę jeszcze dziś
To łatwe
1 Dodaj książkę do koszyka i wybierz „dostarczyć jako prezent” 2 W odpowiedzi wyślemy Ci bon 3 Książka dotrze na adres obdarowanegoMogłoby Cię także zainteresować
/
Miękka
56.33
zł
/
Miękka
157.33
zł
Cześć! Jestem Libroamiko, Twój doradca książkowy.
Jak mogę Ci pomóc?