Risk Return Relationship in the Portfolio Selection Models

Autor:	Yifan Zhao, Ken Hung, Chin W. Yang, Kuo-Hao Lee
Rok vydání:	2018
Předmět:	Rate of return on a portfolio Ranking Harmonic mean Statistics Efficient frontier Portfolio Maximization Geometric mean Mathematics Arithmetic mean
Zdroj:	Theoretical Economics Letters. :358-366
ISSN:	2162-2086 2162-2078
DOI:	10.4236/tel.2018.83025
Popis:	In this paper, we calculate four different kinds of means—AM, GM, HM, and GDM—to investigate the risk-return contour using Markowitz risk minimization and Sharpe’s angle maximization models. For a given value (target portfolio return), the rank order of risk or variance-covariance (υ) can change. In the vertical segment of an efficient frontier curve, we observed v(GDM) > v(HM) > v(GM) > v(AM). At higher k values, the rank changes to v(GDM) > v(HM) > v(AM) > v(GM). That is to say, ranking a portfolio using different kinds of means may well give different rankings depending on what k value one is evaluating. It is also shown the harmonic mean should not be used in the case of a small negative growth rate in stock prices.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::cfe2d49689a99c3faa456b49f6e2ef86 https://doi.org/10.4236/tel.2018.83025 Zobrazit plný text záznamu