Nhan đề: Application of Sharpe-Lintner-Mossin numerical method based on figures from Vietnam’s stock market in the 2000-2002 period

Tác giả: Vuong, Quan Hoang; Nguyen, Quang Dong; Ngo, Phuong Chi

Tóm tắt: Abstract In this article, we conduct the optimizing of a stock portfolio of five different stocks using numerical methods, with Vietnam market constraint of no short-selling. The outcome shows numerical solutions consisting of discrete points, significantly different from the analytics described by the theoretic parabolic curve of Markowitz. The underlying theory of this is the Sharpe-Lintner-Mossin model, with one risk-free asset, that is short-term government bond (one year). Our preference indicator for the selection of appropriate solutions is the coefficient tan(α), which is feasible to compute from the numerical solutions.

Mô tả: 5 pages

Định danh: http://ds.libol.fpt.edu.vn/handle/123456789/2004

Năm xuất bản: 2002-12-18

Tài liệu liên quan: Trên Google Scholar