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Security return covariance forecasting and applications for multi-period mean-variance formulation

by Sargent, Blair M.

Abstract

The value and importance of diversity in one's portfolio has long been postulated, but it was Harry M. Markowitz who proposed the first mathematical model that would allow investors to systematically compute the optimal allocation of assets based on individual preferences (the investor's utility function), covariance, variance, and expected value of returns. Adequate diversification can mitigate risk substantially while potentially enhancing returns. Markowitz provided investors with the tools to optimally diversify their investments.

Note

bachelor

Bachelor of Arts

Includes bibliographical references

Administrative Notes

None

Copyright
Copyright restrictions apply.
Publisher
Colorado College
PID
coccc:4101
Digital Origin
born digital
Extent
56 p. : ill.
Thesis
Senior Thesis -- Colorado College
Thesis Advisor
de Arauju, Pedro
Degree Name
bachelor
Degree Type
Bachelor of Arts
Date Issued
None