Naslov
Efficient Frontier - Comparing Different Volatility Estimators

Autori
Poklepović, Tea ; Aljinović, Zdravka ; Matković, Mario

Izvornik
International journal of mathematical analysis (1312-8876) 9 (2015), 4; 148-155

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Variance; lower semi-variance; range-based volatility.

Sažetak
Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and compares three efficient frontiers on the Croatian Stock Market. The results show that range-based volatility estimator outperforms both mean-variance and lower semi-variance model.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA