文章基本信息

标题：Risk Return Relationship in the Portfolio Selection Models
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作者：Ken Hung ; C. W. Yang ; Yifan Zhao 等
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2018
卷号：08
期号：03
页码：358-366
DOI：10.4236/tel.2018.83025
语种：English
出版社：Scientific Research Publishing
摘要：In this paper, we calculate four different kinds of means —AM, GM, HM, and GDM—to investigate the risk-return contour using Markowitz risk minimization and Sharpe’s angle maximization models. For a given value (target portfolio return), the rank order of risk or variance-covariance ( υ ) can change. In the vertical segment of an efficient frontier curve, we observed v(GDM) > v(HM) > v(GM) > v(AM). At higher k values, the rank changes to v(GDM) > v(HM) > v(AM) > v(GM). That is to say, ranking a portfolio using different kinds of means may well give different rankings depending on what k value one is evaluating. It is also shown the harmonic mean should not be used in the case of a small negative growth rate in stock prices.
关键词：Arithmetic Mean;Geometric Mean;Golden Mean;Harmonic Mean;Marko-witz Risk Minimization;Sharpe’s Angle Maximization