(The) effects of errors in means, variances, and correlations on all feasible portfolios = 모든 가능 포트폴리오에 대한 평균, 분산 및 상관 관계에서의 오류의 영향

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 209
  • Download : 0
In mean-variance framework, the mean and standard deviation of historical asset returns are used as the measure of asset return and risk. Even though Markowitz's mean-variance optimization is not used, the mean of the asset returns and the covariance matrix are still important factors in selecting components of a portfolio. It is therefore important to understand the sensitivity of portfolios to errors in mean and covariance matrix that occur in measuring. Many studies including the one of Chopra and Ziemba (1993) found the effect of errors in mean and covariance matrix but they only considered about the effect on single portfolio, mainly MV-optimal portfolio. This thesis examined the change in Sharpe-ratio distributions of all feasible portfolios due to the errors in means, variances, and correlations by adopting the concept of uniformly distributed random portfolio of Kim and Lee (2016). We found that the Sharpe-ratio distribution of all possible portfolios changed the most by errors in correlation.
Advisors
Kim, Woo Changresearcher김우창researcher
Description
한국과학기술원 :산업및시스템공학과,
Publisher
한국과학기술원
Issue Date
2018
Identifier
325007
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2018.8,[ii, 27 p. :]

Keywords

mean-variance framework▼amean▼acovariance matrix▼acorrelation▼aerror▼asensitivity; all feasible portfolios▼aSharpe ratio▼auniformly distributed random portfolio▼aUDRP; 평균-분산이론▼a평균▼a공분산 행렬▼a상관관계▼a오차▼a민감도▼a모든 가능 포트폴리오▼a샤프지수 분포▼a균일 임의 포트폴리오

URI
http://hdl.handle.net/10203/266230
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=828504&flag=dissertation
Appears in Collection
IE-Theses_Master(석사논문)
Files in This Item
There are no files associated with this item.

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0