Portfolio Management: An investigation of the implications of measurement errors in stock prices on the creation, management and evaluation of stock portfolios, using stochastic simulations
AbstractIn this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios. Using stochastic simulation techniques and the Markowitz Mean Variance approach in the creation of the weights of the various stocks of a portfolio, we conclude that measurement errors have significant implications on the efficiency of the management of a stock portfolio.
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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 0904.
Length: 22 pages
Date of creation: 26 Mar 2009
Date of revision:
Publication status: Forthcoming in International Journal of Financial Economics and Econometrics (IJFEE)
Markowitz Mean Variance; Measurement Errors in Returns; Stochastic Simulation.;
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- Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
- William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
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