Portfolio's Sensitivity Analysis with Riskless Asset
2003
This paper gives approaches to the sensitivity analysis for Mean-Variance (M-V) portfolios with riskless asset. The floating equations of the efficient frontier and expansion path are presented for changes in the security expected return and covariance matrix (as a reflection of risk) in case existing riskless asset, so that portfolios can be adjusted in time according to disturbance.
Keywords:
- Correction
- Source
- Cite
- Save
- Machine Reading By IdeaReader
0
References
0
Citations
NaN
KQI