Portfolio's Sensitivity Analysis without Riskless Asset
01 Jan 2002-
TL;DR: In this paper, the authors give approaches to the sensitivity analysis for mean-variance (M-V) portfolios and the floating equations of the efficient frontier and expansion path are presented for changes in the security expected return and covariance matrix.
Abstract: This paper gives approaches to the sensit ivity analysis for Mean-Variance (M-V) portfolios. 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 without riskless asset.
Citations
More filters
••
12 Oct 2012TL;DR: In this paper, the authors give the characteristic of the efficient frontier under the sense of CVaR risk measurement, examines the economic implications and compares with the Mean-Variance boundary.
Abstract: As the amount of asset is decreased, this paper gives the characteristic of the efficient frontier under the sense of CVaR risk measurement, examines the economic implications and compares with the Mean-Variance boundary. We find that when CVaR is used as risk measurement, investors will become more stable, which is useful to risk decentralization and controlling.