Portfolio Theory

  • David Ruppert
Part of the Springer Texts in Statistics book series (STS)


How should we invest our wealth? Portfolio theory is based upon two principles:1
  • We want to maximize the expected return; and

  • We want to minimize the risk which we define in this chapter to be the standard deviation of the return, though we are ultimately concerned with the probabilities of large losses.


Quadratic Programming Optimal Portfolio Expected Return Risky Asset Excess Return 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • David Ruppert
    • 1
  1. 1.School of Operations Research and Industrial EngineeringCornell UniversityIthacaUSA

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