@article{(Open Science Index):https://publications.waset.org/pdf/10001020,
	  title     = {Efficient Frontier - Comparing Different Volatility Estimators},
	  author    = {Tea Poklepović and  Zdravka Aljinović and  Mario Matković},
	  country	= {},
	  institution	= {},
	  abstract     = {Modern Portfolio Theory (MPT) according to
Markowitz states that investors form mean-variance efficient
portfolios which maximizes their utility. Markowitz proposed the
standard deviation as a simple measure for portfolio risk and the
lower semi-variance as the only risk measure of interest to rational
investors. This paper uses a third volatility estimator based on
intraday data and compares three efficient frontiers on the Croatian
Stock Market. The results show that range-based volatility estimator
outperforms both mean-variance and lower semi-variance model.
},
	    journal   = {International Journal of Mathematical and Computational Sciences},
	  volume    = {9},
	  number    = {4},
	  year      = {2015},
	  pages     = {214 - 221},
	  ee        = {https://publications.waset.org/pdf/10001020},
	  url   	= {https://publications.waset.org/vol/100},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 100, 2015},
	}