NDLI: Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model

Content Provider	PubMed Central
Author	Shinzato, Takashi
Editor	Montoya, Alejandro Raul Hernandez
Copyright Year	2015
Abstract	In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy does not always result in the best rate of return on assets. Prior to making investment decisions, it is important to an investor to know the potential minimal investment risk (or the expected minimal investment risk) and to determine the strategy that will maximize the return on assets. We use the self-averaging property to analyze the potential minimal investment risk and the concentrated investment level for the strategy that gives the best rate of return. We compare the results from our method with the results obtained by the operations research approach and with those obtained by a numerical simulation using the optimal portfolio. The results of our method and the numerical simulation are in agreement, but they differ from that of the operations research approach.
Related Links	http://dx.doi.org/10.1371/journal.pone.0133846
Starting Page	133846
File Format	PDF
ISSN	19326203
e-ISSN	19326203
Journal	PLoS ONE
Issue Number	7
Volume Number	10
Language	English
Publisher	Public Library of Science
Publisher Date	2015-07-30
Access Restriction	Open
Rights Holder	Public Library of Science
Subject Keyword	Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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