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- Resampled_efficient_frontier abstract "In investment portfolio construction, an investor or analyst is faced with determining which asset classes, such as domestic fixed income, domestic equity, foreign fixed income, and foreign equity, to invest in and what proportion of the total portfolio should be of each asset class. Harry Markowitz (1959) first described a method for constructing a portfolio with optimal risk/return characteristics. His portfolio optimization method finds the minimum risk portfolio with a given expected return. Because the Markowitz or Mean-Variance Efficient Portfolio is calculated from the sample mean and covariance, which are likely different from the population mean and covariance, the resulting investment portfolio may allocate too much weight to assets with better estimated than true risk/return characteristics. To account for the uncertainty of the sample estimates, a financial analyst can create many alternative efficient frontiers based on resampled versions of the data. Each resampled dataset will result in a different set of Markowitz efficient portfolios. These efficient frontiers of portfolios can then averaged to create a resampled efficient frontier. The appropriate compromise between the investor's Risk aversion and desired return will then guide the financial analyst to choose a portfolio from the set of resampled efficient frontier portfolios. Since such a portfolio is different from the Markowitz efficient portfolio it will have suboptimal risk/return characteristics with respect to the sample mean and covariance, but optimal characteristics when averaged over the many possible values of the unknown true mean and covariance. (Michaud, 1998) Resampled Efficiency is covered by U. S. patent #6,003,018, patent pending worldwide. New Frontier Advisors, LLC, has exclusive worldwide licensing rights.".
- Resampled_efficient_frontier wikiPageID "22395986".
- Resampled_efficient_frontier wikiPageLength "2711".
- Resampled_efficient_frontier wikiPageOutDegree "17".
- Resampled_efficient_frontier wikiPageRevisionID "506018699".
- Resampled_efficient_frontier wikiPageWikiLink Asset.
- Resampled_efficient_frontier wikiPageWikiLink Category:Investment.
- Resampled_efficient_frontier wikiPageWikiLink Covariance_matrix.
- Resampled_efficient_frontier wikiPageWikiLink Expected_value.
- Resampled_efficient_frontier wikiPageWikiLink Fixed_income.
- Resampled_efficient_frontier wikiPageWikiLink Harry_Markowitz.
- Resampled_efficient_frontier wikiPageWikiLink Modern_portfolio_theory.
- Resampled_efficient_frontier wikiPageWikiLink Patent.
- Resampled_efficient_frontier wikiPageWikiLink Portfolio_(finance).
- Resampled_efficient_frontier wikiPageWikiLink Rate_of_return.
- Resampled_efficient_frontier wikiPageWikiLink Resampling_(statistics).
- Resampled_efficient_frontier wikiPageWikiLink Risk.
- Resampled_efficient_frontier wikiPageWikiLink Risk_aversion.
- Resampled_efficient_frontier wikiPageWikiLink Sample_mean_and_covariance.
- Resampled_efficient_frontier wikiPageWikiLink Stock.
- Resampled_efficient_frontier wikiPageWikiLink Uncertainty.
- Resampled_efficient_frontier wikiPageUsesTemplate Template:Orphan.
- Resampled_efficient_frontier wikiPageUsesTemplate Template:Reflist.
- Resampled_efficient_frontier subject Category:Investment.
- Resampled_efficient_frontier type Market.
- Resampled_efficient_frontier comment "In investment portfolio construction, an investor or analyst is faced with determining which asset classes, such as domestic fixed income, domestic equity, foreign fixed income, and foreign equity, to invest in and what proportion of the total portfolio should be of each asset class. Harry Markowitz (1959) first described a method for constructing a portfolio with optimal risk/return characteristics.".
- Resampled_efficient_frontier label "Resampled efficient frontier".
- Resampled_efficient_frontier sameAs Q17105499.
- Resampled_efficient_frontier sameAs m.05syjjh.
- Resampled_efficient_frontier sameAs Q17105499.
- Resampled_efficient_frontier wasDerivedFrom Resampled_efficient_frontier?oldid=506018699.
- Resampled_efficient_frontier isPrimaryTopicOf Resampled_efficient_frontier.