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

摘要：

Modern risk analysis, portfolio management and mechanics are based almost entirely on the meanvariance framework and its elements – variance, semivariance, 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.

关键词： Correlation Covariance Variance, Semi-Variance, Volatility Risk Analysis mechanics Portfolio Management

作者: Michael C Nwogugu

作者单位: P.O.Box 996, Newark, NJ 07101, USA.

会议类型: 国际会议

会议名称: The Third International Conference on Operations and Supply Chain Management(第三届运营与供应链管理国际会议)

会议地点: 武汉

会议语种:英文

页码: 19-28

在线出版日期: 2009-07-28（万方平台首次上网日期，不代表论文的发表时间）