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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Vydané v:	China finance review international Ročník 3; číslo 3; s. 284 - 300
Hlavní autori:	Chen, Li, Pan, Heping
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Beijing Emerald Group Publishing Limited 02.08.2013
Predmet:	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
On-line prístup:	Získať plný text
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