Mean-Variance Analysis in Portfolio Choice and Capital Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mean-Variance Analysis in Portfolio Choice and Capital Markets write by Harry M. Markowitz. This book was released on 2000-02-15. Mean-Variance Analysis in Portfolio Choice and Capital Markets available in PDF, EPUB and Kindle. In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Mean-variance Analysis in Portfolio Choice and Capital Markets
Mean-variance Analysis in Portfolio Choice and Capital Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mean-variance Analysis in Portfolio Choice and Capital Markets write by Harry M. Markowitz. This book was released on 1990. Mean-variance Analysis in Portfolio Choice and Capital Markets available in PDF, EPUB and Kindle. Mean-variance analysis in portfolio... / Markowitz, H.M.
Mean-variance Analysis in Portfolio Choice and Capital Markets
Mean-variance Analysis in Portfolio Choice and Capital Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Mean-variance Analysis in Portfolio Choice and Capital Markets write by Harry Markowitz. This book was released on 1990. Mean-variance Analysis in Portfolio Choice and Capital Markets available in PDF, EPUB and Kindle.
Characteristic-based Mean-variance Portfolio Choice
Characteristic-based Mean-variance Portfolio Choice - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Characteristic-based Mean-variance Portfolio Choice write by Erik Hjalmarsson. This book was released on 2009. Characteristic-based Mean-variance Portfolio Choice available in PDF, EPUB and Kindle. We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a mean-variance analysis of assets with returns given by single-characteristic strategies (e.g., momentum or value). In an empirical application to international stock return indexes, we show that the direct approach to estimating portfolio weights clearly beats a naive regression-based approach that models the conditional mean. However, a portfolio based on equal weights of the single-characteristic strategies performs about as well, and sometimes better, than the direct estimation approach, highlighting again the difficulties in beating the equal-weighted case in mean-variance analysis. The empirical results also highlight the potential for "stock-picking" in international indexes, using characteristics such as value and momentum, with the characteristic-based portfolios obtaining Sharpe ratios approximately three times larger than the world market.
Portfolio Theory and the Demand for Money
Portfolio Theory and the Demand for Money - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Portfolio Theory and the Demand for Money write by Neil Thompson. This book was released on 2016-07-27. Portfolio Theory and the Demand for Money available in PDF, EPUB and Kindle. The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfolio choice problem are described, together with an up-to-date survey of the results obtained from empirical studies of asset choice behaviour. Both single-equation studies and the more complete multi-asset portfolio models, are analysed.
