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- Title
Mean-Variance-Instability Portfolio Analysis: A Case of Taiwan's Stock Market.
- Authors
Lee, Shawin; Chang, Kuo-Ping
- Abstract
This paper applies Talpaz, Harpaz, and Penson's (THP) (1983) mean-variance-instability portfolio selection model to eight selected Taiwan stocks during 1980-89 to demonstrate how instability preference affects the traditional mean-variance frontier. In contrast to THP's finding, the empirical results show that Taiwan's high-frequency stocks have high, not low, variance. This indicates that Taiwan investors, unlike U.S. investors, prefer to speculate in high-variance stocks. The empirical results also show that short selling may increase the risk of the portfolio when the investor is instability preferred.
- Subjects
INVESTORS; SECURITIES; PORTFOLIO management (Investments); MATHEMATICAL models of investments; AMERICAN investments; TAIWANESE investments; SECURITIES trading; SOCIOLOGY of risk; RISK aversion; ECONOMICS; PSYCHOLOGY
- Publication
Management Science, 1995, Vol 41, Issue 7, p1151
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.41.7.1151