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Showing 1 to 3 of 3 for “"markowitz model"”.
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Accurate portfolio risk-return structure modelling
Markowitz's modem portfolio theory has played a vital role in investment portfolio management, which is constantly pushing the development on volatility models. Particularly, the stochastic volatility model which reveals the dynamics of conditional volatility. Financial time series and volatility …
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Dynamic and robust estimation of risk and return in modern portfolio theory
The portfolio selection method developed by Markowitz gives a rational investor a way of evaluating different investment options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression …
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Cost-Risk Analysis of the ERCOT Region Using Modern Portfolio Theory
<p>In this work, we study the use of modern portfolio theory in a cost-risk analysis of the Electric Reliability Council of Texas (ERCOT). Based upon the risk-return concepts of modern portfolio theory, we develop an n-asset minimization problem to create a risk-cost frontier of portfolios of …