Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique
Year of publication: |
2021
|
---|---|
Authors: | Mitra, Pradip Kumar ; Mascarenhas, Edward |
Published in: |
International journal of business excellence : IJBEX. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-0055, ZDB-ID 2471986-9. - Vol. 25.2021, 4, p. 474-490
|
Subject: | BSE low volatility index | excess return to beta | Markowitz model | optimal portfolio | risk return trade-off | risk-averse | risk-aversion | Sharpe single index model | Sharpe's optimisation model | volatility anomaly | Experiment | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risiko | Risk | CAPM | Risikoaversion | Risk aversion | Betafaktor | Beta risk |
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