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Risk Estimation, Diversification, and Optimal Weights

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

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  • Cheng Few Lee

Abstract

The main purposes of this chapter are (i) to discuss risk classification and estimation; (ii) to show how to use minimum-variance and Sharpe performance measure approach to estimate optimal weights for a two-security portfolio; (iii) to discuss applications of performance measures; and (iv) to use concepts discussed in this chapter to show how banking lending rate can be estimated.

Suggested Citation

  • Cheng Few Lee, 2024. "Risk Estimation, Diversification, and Optimal Weights," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 56, pages 1795-1833, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0056
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    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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