The Potofuorio optimization by efficient frontier that has been re-sampled

摘要

(57) a method for evaluating the estimated portfolio existing or have assets of [summary] multiple. Calculated for multiple simulations of the input data of consistent statistically revenue and standard deviation and expected revenue, the average variance effective portfolio, each of the portfolio such association by the index to a particular portfolio of the mean-variance efficient frontier is. Statistical average of the index correlation mean variance effective portfolio is used in order to evaluate the portfolio for consistency with the risk a particular subject.