SSRN Author: Susana YuSusana Yu SSRN Content
http://www.ssrn.com/author=497211
http://www.ssrn.com/rss/en-usWed, 16 Aug 2017 04:25:26 GMTeditor@ssrn.com (Editor)Wed, 16 Aug 2017 04:25:26 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Arithmetic and Continuous Return Mean-Variance Efficient FrontiersThe arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous return mean-variance efficient frontier, expected continuous return initially rises, then declines and becomes negative without limit as risk increases. Too much aggressiveness can lead to disaster, even without borrowing.
http://www.ssrn.com/abstract=3018114
http://www.ssrn.com/1617378.htmlTue, 15 Aug 2017 11:19:36 GMT