Title :
Some Research on Value Range of Equal Weight Portfolio Risk
Author :
Deng, Xue ; Li, Rong-jun
Author_Institution :
Sch. of Bus. Adm., South China Univ. of Technol., Guangzhou
Abstract :
Equal weight portfolio is an effective way of dispersing investment risk on the research of portfolio investment. The purpose of this paper is to present the more accurate value ranges and some recent results of the variance of return rate for equal weight portfolio investment, and to obtain some sufficient and necessary conditions for equal weight portfolio investment being optimal portfolio investment. These obtained results in theory have a significant effect on the theory research of modern portfolio investment. Finally, two numerical examples show the effectiveness of our obtained results.
Keywords :
covariance matrices; investment; minimisation; risk management; covariance matrix; equal weight portfolio investment; investment risk dispersion; portfolio investment risk minimization; return rate; value range; Biomedical engineering; Covariance matrix; Dispersion; Investments; Portfolios; Random variables; Risk management; Security; Seminars; Symmetric matrices; equal weight investment; investment proportional coefficient; portfolio investment; return rate; risk minimization;
Conference_Titel :
Future BioMedical Information Engineering, 2008. FBIE '08. International Seminar on
Conference_Location :
Wuhan, Hubei
Print_ISBN :
978-0-7695-3561-6
DOI :
10.1109/FBIE.2008.27
