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https://doi.org/10.1142/9789811269943_0056Cited by:0 (Source: Crossref)
Abstract:

The main purposes of this chapter are (i) to discuss risk classification and estimation; (ii) to show how to use minimum-variance and Sharpe performance measure approach to estimate optimal weights for a two-security portfolio; (iii) to discuss applications of performance measures; and (iv) to use concepts discussed in this chapter to show how banking lending rate can be estimated.