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

fYear

2008

fDate

18-18 Dec. 2008

Firstpage

164

Lastpage

167

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Future BioMedical Information Engineering, 2008. FBIE '08. International Seminar on

Conference_Location

Wuhan, Hubei

Print_ISBN

978-0-7695-3561-6

Type

conf

DOI

10.1109/FBIE.2008.27

Filename

5076710