Optimal Decisions Under Uncertainty pp 169-205 | Cite as
Portfolio Models in Financial Management
Chapter
Abstract
From an applied viewpoint, the recent developments in portfolio theory on investment decisions have clarified the various aspects of the diversification strategy of an investor under the framework of a general capital market equilibrium. Four aspects of this modern trend appear to be the most important from a managerial veiwpoint: (a) capital asset pricing model (CAPM) and its integration with the theory of firm behavior, (b) characterization of the efficient set of portfolios, (c) optimal limited diversification portfolio for the small investor and (d) the robustness analysis of a portfolio strategy.
Keywords
Mean Square Error Optimal Portfolio Capital Asset Price Model Portfolio Return Optimal Risk
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