Advertisement

Portfolio Theory

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

Abstract

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.

Keywords

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.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Bernstein, P., (1993) Capital Ideas: The Improbable Origins of Modern Wall Street, Free Press, New York.Google Scholar
  2. Bodie, Z. and Merton, R. C. (2000) Finance, Prentice-Hall, Upper Saddle River, NJ.Google Scholar
  3. Bodie, Z., Kane, A., and Marcus, A. (1999) Investments, 4th Ed., Irwin/McGraw-Hill, Boston.Google Scholar
  4. Campbell, J. Y., Lo, A. W., and MacKinlay, A. C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.MATHGoogle Scholar
  5. Markowitz, H. (1952) Portfolio Selection, Journal of Finance, 7, 77–91.Google Scholar
  6. Markowitz, H. (1959) Portfolio Selection: Efficient Diversification of Investment, Wiley, New York.Google Scholar
  7. Merton, R.C. (1972) An analytic derivation of the efficient portfolio frontier, Journal of Financial and Quantitative Analysis, 7, 1851–1872.CrossRefGoogle Scholar
  8. Michaud, R. O. (1998) Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Harvard Business School Press, Boston.Google Scholar
  9. Sharpe, W. F., Alexander, G. J., and Bailey, J. V. (1999) Investments, 6th Ed., Prentice-Hall, Upper Saddle River, NJ.Google Scholar
  10. Williams, J. B. (1938) The Theory of Investment Value, Harvard University Press, Cambridge, MA.Google Scholar

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

Personalised recommendations