Modelling in the spirit of Markowitz portfolio theory in a non-Gaussian world

Modelling in the spirit of Markowitz portfolio theory in a non-Gaussian world

Most financial markets do not have rates of return that are Gaussian. Therefore, the Markowitz mean variance model produces outcomes that are not optimal. We provide a method of improving upon the Markowitz portfolio using value at risk and median as the decision-making criteria.

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Bibliographische Detailangaben
Veröffentlicht in:Current science (Bangalore) 2012-09, Vol.103 (6), p.666-672
Hauptverfasser: Karandikar, Rajeeva L., Sinha, Tapen
Format: Artikel
Sprache:eng
Schlagworte:
COMMENTARY
Financial portfolios
Gaussian distributions
Investment return rates
Investment risk
Investors
Market portfolios
Random variables
Ratios
Risk management
Standard deviation
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Beschreibung
Zusammenfassung:Most financial markets do not have rates of return that are Gaussian. Therefore, the Markowitz mean variance model produces outcomes that are not optimal. We provide a method of improving upon the Markowitz portfolio using value at risk and median as the decision-making criteria.
ISSN:0011-3891