Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/146571 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] Atlantic Review of Economics [ISSN:] 2174-3835 [Volume:] 1 [Publisher:] Colegio de Economistas de A Coruña [Place:] A Coruña [Year:] 2013
Verlag: 
Colegio de Economistas de A Coruña, A Coruña
Zusammenfassung (übersetzt): 
Financial markets currently offer various investment alternatives, including a variety of assets, which are differentiated by the level of profitability, liquidity, volatility and trading volume associated with them, among other characteristics of the market; it which implies that investors use various tools to choose optimal investments incurring a level of risk. Given the above, this paper presents a model of efficient portfolio optimization based on Markowitz's theory, using EWMA methodology for the calculation of portfolio risk.
Schlagwörter: 
optimal portfolio
Markowitz theory
efficient frontier
risk
EWMA (Exponentially Weighted Moving Average)
variance-covariance matrix
JEL: 
G11
C13
Dokumentart: 
Article

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