Blar i NHH Brage på emneord "benchmark"
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An arbitrary benchmark CAPM : one additional frontier portfolio is sufficient
(Discussion paper, Working paper, 2008-10)The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio. The benchmark is not required to be on the frontier and may be ... -
Exploiting parallelization in spatial statistics: an applied survey using R
(Discussion paper, Working paper, 2010-10)Computing tasks may be parallelized top-down by splitting into per-node chunks when the tasks permit this kind of division, and particularly when there is little or no need for communication between the nodes. Another ... -
Simplifying and generalizing some efficient frontier and CAPM related results
(Discussion paper;12/07, Working paper, 2007-03)This paper simplifies, generalizes, extends, surveys and unifies results related to the efficient frontier in portfolio analysis and to asset pricing formulations of the Capital Asset Pricing Model (CAPM) type. It derives ...