. so c - ph ] 1 9 A pr 2 00 5 Risk portofolio management under Zipf analysis based strategies
نویسنده
چکیده
A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one called the " equally weighted portofolio " , the other the " confidence parametrized portofolio ". A discussion of the (yearly) expected return, variance, Sharpe ratio and β follows. Optimization levels of high returns or low risks are found.
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