English, Article, Journal or magazine article edition: Portfolio Management: An investigation of the implications of measurement errors in stock prices on the creation, management and evaluation of stock portfolios, using stochastic simulations Dikaios Tserkezos; Eleni Thanou Thanou

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Bookmark: http://trove.nla.gov.au/version/77072
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Portfolio Management: An investigation of the implications of measurement errors in stock prices on the creation, management and evaluation of stock portfolios, using stochastic simulations
Author
  • Dikaios Tserkezos
  • Eleni Thanou Thanou
Physical Description
  • preprint
Notes
  • In this paper, we investigate the implications of measurement errors in the daily published stock prices on the creation and management of efficient portfolios. Using stochastic simulation techniques and the Markowitz Mean Variance approach in the creation of the weights of the various stocks of a portfolio, we conclude that measurement errors have significant implications on the efficiency of the management of a stock portfolio.
  • Markowitz Mean Variance, Measurement Errors in Returns, Stochastic Simulation.
  • RePEc:crt:wpaper:0904
Language
  • English
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