A dynamic portfolio theory model based on minimum semi-absolute deviations criterion with an application in the Chinese stock markets

Purpose - The purpose of this paper is to prove the effectiveness of minimum semi-absolute deviations (MSAD) method in dynamic portfolio investment.Design methodology approach - In financial investment, the classical static portfolio theory of Markowitz type lacks the dynamic adaptability to the cha...

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Bibliographic Details
Published in:	China finance review international Vol. 3; no. 3; pp. 284 - 300
Main Authors:	Chen, Li, Pan, Heping
Format:	Journal Article
Language:	English
Published:	Beijing Emerald Group Publishing Limited 02.08.2013
Subjects:	Asset allocation Capital assets Investment policy Investments Investors Market prices Optimization Parameter estimation Portfolio management Profits Quantitative analysis Securities markets Standard deviation Stock exchanges Studies Theory China Portfolio investment Portfolio theory Macroeconomic factors China Minimum semi-absolute deviations (MSAD) criterion Linear programming Stock markets Dynamic portfolio theory
ISSN:	2044-1398, 2044-1401
Online Access:	Get full text
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