Pregledni rad
https://doi.org/10.1080/1331677X.2016.1265893
Practical aspects of portfolio selection and optimisation on the capital market
Florin Turcas
Florin Dumiter
orcid.org/0000-0002-1043-238X
Petre Brezeanu
Pavel Farcas
Sorina Coroiu
Sažetak
This article highlights some observations concerning the deficiencies
in the application of statistics on the capital market, with special
reference to Modern Portfolio Theory (MPT). The main point is the
sensitivity of statistical parameters (especially the standard deviation
of the daily rates of return) to subjective/random factors. For securities
with similar patterns and quasi-identical charts, statistical results
in contradiction to the evidence of the market can be obtained.
This article makes a pledge in favour of the necessity for increased
attention in constructing an optimal/efficient portfolio.
Ključne riječi
Stock exchange; statistics; technical analysis; Modern Portfolio Theory (MPT)
Hrčak ID:
173507
URI
Datum izdavanja:
1.12.2017.
Posjeta: 1.752 *