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"Portfolio Theory is Alive and Well: A Response." Journal of Investing, Fall 1994. Rom, B. M. and K. Ferguson. "A software developer's view: using Post-Modern Portfolio Theory to improve investment performance measurement." Managing downside risk in financial markets: Theory, practice and implementation; Butterworth-Heinemann Finance, 2001; p59.
Post-modern portfolio theory; Principled reasoning; R. Replicating portfolio; Resampled efficient frontier; Returns-based style analysis; Risk parity; Risk–return ...
The concept of online portfolio selection originated in 1952 with an essay by Harry Markowitz giving the theory of portfolio selection as Modern portfolio theory. [9] Online portfolio selection was first implemented in 2012 by Bin Li and Bin Hoi at Wuhan University. [10] [11] [12]
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 ...
Furthermore, modern portfolio theory requires that all return analysis be conjoined with risk analysis, else good performance results can mask their relationship to greatly increased risk. Thus, a viable performance attribution system must always be interpreted in parallel to a precisely commensurate risk attribution analysis.
If the investor's utility function is the risk averse log utility function of final wealth , = , then decisions are intertemporally separate. [1] Let initial wealth (the amount that is investable in the initial period) be and let the stochastic portfolio return in any period (the imperfectly predictable amount that the average dollar in the portfolio grows or shrinks to in a given period t ...
Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to consume and must allocate their wealth between stocks and a risk-free asset so as to maximize expected utility .
Capital market line. Capital market line (CML) is the tangent line drawn from the point of the risk-free asset to the feasible region for risky assets. The tangency point M represents the market portfolio, so named since all rational investors (minimum variance criterion) should hold their risky assets in the same proportions as their weights in the market portfolio.