An optimal portfolio mix for stable and turbulent times: A study on selected Philippine assets using modified Markowitz mean-variance model for the years 2001-2010
The study in 1953, Harry Markowitz introduced the mean-variance optimization model. This study addresses the problems of the original model by segmenting the data and introducing different risk regimes. The study adopted a modified Markowitz model that was introduced by Chow, et al. Multivariate out...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2012
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/9690 |
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| Institution: | De La Salle University |
| Language: | English |