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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

  • Dikaios Tserkezos


    (Department of Economics, University of Crete, Greece)

  • Eleni Thanou Thanou


    (Hellenic Open University)

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    In 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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    Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0904.

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    Length: 22 pages
    Date of creation: 26 Mar 2009
    Date of revision:
    Publication status: Forthcoming in International Journal of Financial Economics and Econometrics (IJFEE)
    Handle: RePEc:crt:wpaper:0904
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    1. William F. Sharpe, 1965. "Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 39, pages 119.
    2. Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
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