Modern portfolio theory and investment analysis
@inproceedings{Elton1981ModernPT, title={Modern portfolio theory and investment analysis}, author={Edwin J. Elton}, year={1981} }
An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.
2,760 Citations
Foundation of Portfolio Theory
- Economics, Business
- 2010
In this chapter, we first define the basic concepts of risk and risk measurement. Using the relationship of risk and return, we introduce the efficient-portfolio concept and its implementation. Then…
Portfolio Credit Risk Modeling
- Economics
- 2013
Portfolio credit risk analysis is a relatively new field of study. In the early nineties, analysts developed a wide range of models to extend the market practice of using value at risk (VAR) as a…
Portfolio Construction and Risk Management: Practical Issues and Examples
- Economics
- 2003
This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization…
Assessment of Capital Asset Pricing Model in Indian stock market
- Economics
- 2018
As an extension of Harry Markowitz diversification and modern portfolio theory, William Sharpe, Jack Treynor, John Lintner and Jan Mossin introduced the CAPM. This exploratory research throws light…
Modern Portfolio Theory: A Review of the Work Done on Performance Measures and their Role in Portfolio Construction
- Economics
- 2017
This paper reviews the literature on The Modern Portfolio Theory starting from the contribution of Markowitz. It discusses the merits and de merits of the theory as reviewed through empirical…
Australian domestic portfolio diversification and estimation risk: A review of investment strategies
- Economics
- 1994
The Rationality of Asset Allocation Recommendations
- EconomicsJournal of Financial and Quantitative Analysis
- 2000
The popular finance literature describes the asset allocation decision as one of the most important factors in determining investment performance. This article reviews the implications of modern…
Capital Asset Pricing Model and Beta Forecasting
- Economics
- 2010
In this chapter, using the concepts of portfolio analysis and the dominance principle, we derive the capital asset pricing model (CAPM). Then we show how total risk can be decomposed into systematic…