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

Chen, Li; Pan, Heping - In: China Finance Review International 3 (2013) 3, pp. 284-300

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...

Persistent link: https://www.econbiz.de/10014694566

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

Chen, Li; Pan, Heping - In: China Finance Review International 3 (2013) June, pp. 284-300

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...

Persistent link: https://www.econbiz.de/10010688402