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FPT University|e-Resources > Bài báo khoa học (Scientific Articles) > Articles published by FPT lecturers >
Please use this identifier to cite or link to this item: /handle/123456789/2004

Title: Application of Sharpe-Lintner-Mossin numerical method based on figures from Vietnam’s stock market in the 2000-2002 period
Authors: Vuong, Quan Hoang
Nguyen, Quang Dong
Ngo, Phuong Chi
Keywords: Sharpe-Lintner-Mossin
QH Vuong
Stock market
Economic Studies
Issue Date: 18-Dec-2002
Publisher: Vietnam Institute of Economics
Abstract: Abstract In this article, we conduct the optimizing of a stock portfolio of five different stocks using numerical methods, with Vietnam market constraint of no short-selling. The outcome shows numerical solutions consisting of discrete points, significantly different from the analytics described by the theoretic parabolic curve of Markowitz. The underlying theory of this is the Sharpe-Lintner-Mossin model, with one risk-free asset, that is short-term government bond (one year). Our preference indicator for the selection of appropriate solutions is the coefficient tan(α), which is feasible to compute from the numerical solutions.
Description: 5 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/2004
Appears in Collections:Articles published by FPT lecturers

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