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1. 1. Mean-Earnings-Variance based Portfolio Selection

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Loukas Papantonopoulos; [2010]
   Keywords : earnings; portfolio theory; Mean - Variance; Estimation Problem; Portfolio Frontier; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : The objective of the thesis is to provide a portfolio selection methodology which will take into account the earnings of the companies whose shares are under consideration, though a look into the problem of estimation of the efficient frontier for a basket of stocks. Following an overview of standard portfolio selection theory, a simple risk-return based model will be expanded to a return-earnings-risk model and the portfolio frontier will be projected as a surface in a third dimensional portfolio space. READ MORE