Narrow search
Showing 1 - 3 of 3
Cover Image
Game theory and portfolio selection: a proposed adjustment to the minimax model and application to the Brazilian stock market
Farias, Christiano Alves; Vieira, Wilson da Cruz; … - 2004
The objective of this paper was to compare and to analyze three portfolio selection models: Mean-Variance, Minimax and Minimax Weighted. These models were evaluated using historical data (September 1999 to August 2000, January 2001 to December 2001 and February 2002 to January 2003) obtained...
Persistent link: https://www.econbiz.de/10009445890
Cover Image
Estimation of Expected Returns, Time Consistency of A Stock Return Model, and Their Application to Portfolio Selection
Ma, Huaqiang - 2010
model, which shows that the difference of the two returns is indifferent to the major risk factors. This demonstrates that … the numeraire portfolio pricing method provides a good estimator for the expected return.The modern portfolio theory is …
Persistent link: https://www.econbiz.de/10009450698
Cover Image
Comparison of decision-making under uncertainty investment strategies with the money market
Groenewald, Madeleine E; Pretorius, Philip D - 2010
. The best strategy is selected by calculating different risk and return (reward) measures that are used as decision … a slightly lower return but it shows lower risk. …
Persistent link: https://www.econbiz.de/10009456018