中国资本市场发展讲稿.pptVIP

Drawbacks of Markowitz Procedure The model requires a huge number of estimates to fill the covariance matrix;- Take example of 50-stock portfolio The model does not provide any guideline to the forecasting of the security risk premiums that are essential to construct the efficient frontier of risky assets. * * Reading Modern Portfolio Theory. From Wikipedia/wiki/Modern_portfolio_theory Capital Asset Pricing Model /wiki/Capital_asset_pricing_model 风险厌恶、期望效用、圣彼得堡悖论 * * * * * * * * One reasonable function that has been employed by both financial theorists and the CFA Institute assigns