Theproblems with Portfolio Optimization
첫번째 문제
평가오류로 인한 포트폴리오 최적화의 복합효과
평가오류로 인해 상관계수가 커질 경우 Optimizer는 가공의 안전성을 취하기 위해 두 자산에 대하여 거대한 반대 포지션을 취하는 경향이 있음
두번째 문제
참 상관관계는 시간에 따라 바뀐다.
따라
the degree of risk aversion.
(예) Suppose from the previous example with IBM, CSCO and MPPP, variance-covariance matrix(분산-공 분산 행렬식) ofthe stocks is given as follows. What is thevariance ofthe portfolio return?
Do it! (수업 내 연습, 비중 값은 10페지 참조)
=> Var(Rp)=0.0148;(w’cov w) Std (Rp)=0.122.
Consider the following information:
LTCM was an unregistered private
investment limited partnership (LP) with very few reporting and regulatory controls on it apart from normal auditing
LTCM's main strategy -> make convergence trades.
These trades involved: finding securities, mispriced relative
to one another taking long positions in the cheap ones and short positions in the rich ones.
4 Types of tra
the data be analyzed?
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Are research methods and statistics appropriate?
Do you have the skills to do the research?
Is theproblem significant? (theoretically & practically)
Does the study have practical or theoretical value?
Is theproblem important enough to bother with?
What is the real purpose ofthe study?
Can the results ofthe study be generalized
the irradiation of any food commodity up to an overall average dose of 10 kGy presents no toxicological hazard and requires no further testing. It stated that irradiation up to 10 kGy introduces no special nutritional or microbiological problems in foods. In September 1997 a Study Group was jointly convened by the WHO, FAO and IAEA to evaluate the wholesomeness of food irradiated with doses above