Market portfolios and mean/variance efficiency : evidence from Hong Kong, South Korea and Taiwan markets.

• المؤلفون الرئيسيون: Yeo, Shi Yuan., Wang, William Yi., Yeoh, Leon Wee Leong.
• مؤلفون آخرون: Charlie Charoenwong
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2011
• الموضوعات: DRNTU::Business::Finance::Portfolio management
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/43695

This paper extends Levy and Roll (2010)‟s study on the mean/variance efficiency of the market proxy to three market proxies in Asia – Hong Kong, Taiwan and South Korea, using data from 2001 to 2010. Utilizing sample parameters of the largest 100 stocks in each market, we performed an optimization to...