An Inquiry into the Inevitability of Prediction Error in Investment Portfolio Models
Description:
Many mathematical programming models of the selection of investment portfolios assume that the best portfolio at any given level of risk is the portfolio having the highest level of return. The expected level of return is defined as a linear combination of the expected returns of the individual investments contained within the portfolio,and risk is defined in terms of variance of return. This study uses Monte Carlo simulation to establish that if the estimates of the future returns on potential…
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Date:
December 1972
Creator:
Valentine, Jerome Lynn