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In finance, the Markowitz model ─ put forward by Harry Markowitz in 1952 ─ is a portfolio optimization model; it assists in the selection of the most efficient portfolio by analyzing various possible portfolios of the given securities. Here, by choosing securities that do not 'move' exactly together, the HM model shows investors how to ...
Simply stated, post-modern portfolio theory (PMPT) is an extension of the traditional modern portfolio theory (MPT) of Markowitz and Sharpe. Both theories provide analytical methods for rational investors to use diversification to optimize their investment portfolios.
Modern portfolio theory was introduced in a 1952 doctoral thesis by Harry Markowitz, where the Markowitz model was first defined. [1] [2] The model assumes that an investor aims to maximize a portfolio's expected return contingent on a prescribed amount of risk. Portfolios that meet this criterion, i.e., maximize the expected return given a ...
In modern portfolio theory, the efficient frontier (or portfolio frontier) is an investment portfolio which occupies the "efficient" parts of the risk–return spectrum. Formally, it is the set of portfolios which satisfy the condition that no other portfolio exists with a higher expected return but with the same standard deviation of return (i ...
Maslowian portfolio theory (MaPT) creates a normative portfolio theory based on human needs as described by Abraham Maslow. [1] It is in general agreement with behavioral portfolio theory, and is explained in Maslowian Portfolio Theory: An alternative formulation of the Behavioural Portfolio Theory, [2] and was first observed in Behavioural Finance and Decision Making in Financial Markets.
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Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of diversification in investing, the idea that owning different kinds of financial assets is less risky than owning ...
The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.