Correlation, Variance, Semi-Variance and Covariance Are Irrelevant in Risk Analysis And Portfolio Management

被引：0
|
作者：
Nwogugu, Michael C.
机构：
来源：
ICOSCM 2009 - PROCEEDINGS OF THE 3RD INTERNATIONAL CONFERENCE ON OPERATIONS AND SUPPLY CHAIN MANAGEMENT | 2009年 / 3卷
关键词：
Correlation; Covariance; Variance; Semi-Variance; Volatility; Risk Analysis; mechanics; Portfolio Management; CROSS-CULTURAL DIFFERENCES; MISSPECIFIED ARCH MODELS; MEAN-VARIANCE; DOWNSIDE RISK; TIME-INTERVAL; VOLATILITY; PERCEPTION; SEMIVARIANCE; OPTIMIZATION; UNCERTAINTY;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Modern risk analysis, portfolio management and mechanics are based almost entirely on the mean-variance framework and its elements - variance, semi-variance, correlation and Covariance. Unfortunately, these measures are very inaccurate and don't reflect the realities of phenomena, and are also theoretically inappropriate. This article illustrates the many problems and constraints inherent in the mean-variance framework and its elements.
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页码：19 / 28
页数：10
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