Application of Sharpe-Lintner-Mossin numerical method based on figures from Vietnam’s stock market in the 2000-2002 period
| dc.contributor.author | Vuong, Quan Hoang | |
| dc.contributor.author | Nguyen, Quang Dong | |
| dc.contributor.author | Ngo, Phuong Chi | |
| dc.date.accessioned | 2016-11-29T05:50:30Z | |
| dc.date.available | 2016-11-29T05:50:30Z | |
| dc.date.issued | 2002-12-18 | |
| dc.identifier.uri | http://ds.libol.fpt.edu.vn/handle/123456789/2004 | |
| dc.description | 5 pages | en_US |
| dc.description.abstract | 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. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Vietnam Institute of Economics | en_US |
| dc.subject | Sharpe-Lintner-Mossin | en_US |
| dc.subject | QH Vuong | en_US |
| dc.subject | Vietnam | en_US |
| dc.subject | Stock market | en_US |
| dc.subject | Economic Studies | en_US |
| dc.title | Application of Sharpe-Lintner-Mossin numerical method based on figures from Vietnam’s stock market in the 2000-2002 period | en_US |
| dc.type | Other | en_US |
Các tập tin trong tài liệu này
Tài liệu này xuất hiện trong Bộ sưu tập
Bộ sưu tập thuộc về Trung tâm Thông tin - Thư viện - Trường Đại học FPT
Địa chỉ: Phòng 207 - Tầng 1 - Km 28 - Khu công nghệ cao Hòa Lạc - Thạch Hòa - Thạch Thất - Hà Nội
Điện thoại: 844.66805912 - FAX: - Email: thuvien_fu_hoalac@fpt.edu.vn