文章基本信息

标题：Practical aspects of portfolio selection and optimisation on the capital market
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作者：Turcas, Florin ; Dumiter, Florin ; Brezeanu, Petre 等
期刊名称：Economic Research
印刷版ISSN：1331-677X
出版年度：2017
卷号：30
期号：1
页码：14-30
DOI：10.1080/1331677X.2016.1265893
语种：English
出版社：Juraj Dobrila University of Pula, Department of Economics and Tourism 'Dr. Mijo Mirkovic'
摘要：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.
关键词：Stock exchange; statistics; technical analysis; Modern Portfolio Theory (MPT)