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Portfolio Theory

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Statistics and Finance

Part of the book series: Springer Texts in Statistics ((STS))

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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.

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References

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Author information

Authors and Affiliations

  1. School of Operations Research and Industrial Engineering, Cornell University, 14853-3801, Ithaca, NY, USA

    David Ruppert

Authors
  1. David Ruppert
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© 2004 Springer Science+Business Media New York

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Ruppert, D. (2004). Portfolio Theory. In: Statistics and Finance. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-6876-0_5

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  • DOI: https://doi.org/10.1007/978-1-4419-6876-0_5

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4757-6584-7

  • Online ISBN: 978-1-4419-6876-0

  • eBook Packages: Springer Book Archive

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