Relevant bibliographies by topics / Modern Portfolio Theory

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Modern Portfolio Theory'

Author: Grafiati
Published: 4 June 2021
Last updated: 10 March 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Modern Portfolio Theory.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Modern Portfolio Theory"

1

MÜLLER, Heinz H. "Modern Portfolio Theory." ASTIN Bulletin 19, no. 3 (November 1, 1989): 9–27. http://dx.doi.org/10.2143/ast.19.3.2014899.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Shipway, I. "Modern Portfolio Theory." Trusts & Trustees 15, no. 2 (January 27, 2009): 66–71. http://dx.doi.org/10.1093/tandt/ttn129.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Lord, Mimi. "University Endowment Committees, Modern Portfolio Theory and Performance." Journal of Risk and Financial Management 13, no. 9 (September 3, 2020): 198. http://dx.doi.org/10.3390/jrfm13090198.

Full text
Abstract:
University endowments with broad portfolio diversification have been correlated with performance, but committees’ decision-making process has received relatively little attention. This study is unique in postulating that the committee’s learning commitment and open-mindedness are significant contributors to a decision process that is based on the principles of Modern Portfolio Theory (or, simply, Portfolio Theory). The use of Portfolio Theory as a decision-making framework leads to greater portfolio diversification, which, in turn, leads to higher risk-adjusted returns. This study also demonstrates that greater committee expertise across multiple asset classes contributes to more diversified portfolios.
APA, Harvard, Vancouver, ISO, and other styles
4

Jones, C. Kenneth. "Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice." American Journal of Industrial and Business Management 07, no. 07 (2017): 833–54. http://dx.doi.org/10.4236/ajibm.2017.77059.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Blakey, Peter. "Modern Portfolio Theory. II." IEEE Microwave Magazine 7, no. 6 (December 2006): 22–26. http://dx.doi.org/10.1109/mw-m.2006.250299.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Zinkhan, F. Christian. "Forestry Projects, Modern Portfolio Theory, and Discount Rate Selection." Southern Journal of Applied Forestry 12, no. 2 (May 1, 1988): 132–35. http://dx.doi.org/10.1093/sjaf/12.2.132.

Full text
Abstract:
Abstract According to modern portfolio theory, only that portion of risk that cannot be diversified away by investors is relevant. Given this assumption, this paper illustrates that timberland investments can offer substantial risk-reduction benefits for investors holding diversified portfolios. With the opportunity for these benefits, it is found that the current required rate of return on an investment in southern timberland is less than the rate on U.S. Treasury bills. Utilizing one of the foundations of modern portfolio theory, an approach is presented for selecting a discount rate for long-term forestry projects undertaken either by individuals with diversified portfolios or by corporations with shareholders owning diversified portfolios. South J. Appl. For. 12(2):132-135
APA, Harvard, Vancouver, ISO, and other styles
7

BAYAT, Fikret, and Şule Yüksel YİĞİTER. "COMPARISON OF DOWN-SIDE RISK MEASUREMENTS AND MODERN PORTFOLIO THEORY: THE EXAMPLE OF BORSA ISTANBUL." Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 13, no. 25 (June 29, 2022): 1–23. http://dx.doi.org/10.36543/kauiibfd.2022.001.

Full text
Abstract:
The concept of risk entered the portfolio world with the work of Harry Markowitz. By considering risk and return together, Markowitz accepts the return distribution symmetrically to create optimal portfolios so that investors can obtain the least risk (variance) and the highest return. When the return distribution is symmetrical, variance can give accurate results as an indicator of risk. But what if the returns show an asymmetrical distribution, can this be the case? Based on this question, the purpose of our research is to compare the portfolio return, risk and covariances of 10 different stocks traded in BIST100 between 1.1.2011-31.4.2021 according to Modern Portfolio theory and Downside risk criteria. In our study, it has been found that Modern Portfolio does not diversify sufficiently, creates portfolios from stocks with high return-risk features, and when the returns do not show a symmetrical distribution, it is insufficient. On the contrary, it has been understood that portfolios created against downside risk measures contain less risk and that more accurate results can be achieved with downside risk measures in asymmetric return distribution.
APA, Harvard, Vancouver, ISO, and other styles
8

Brown, Aaron. "Modern portfolio theory at fifty." Wilmott 2004, no. 3 (May 2004): 22–34. http://dx.doi.org/10.1002/wilm.42820040308.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Leković, Miljan. "Historical development of portfolio theory." Tehnika 76, no. 2 (2021): 220–27. http://dx.doi.org/10.5937/tehnika2102220l.

Full text
Abstract:
Portfolio theory occupies an essential place in modern finance, while portfolio management grounded on its achievements has been recognized as one of the main tasks of financial experts worldwide. Taking into account the previous, the research aims to understand the development process of portfolio theory profoundly and to familiarize the investment community with the basic features of each of its phases: traditional, modern, and post-modern portfolio theory, with inevitable comparative analysis of these theories and presentation of their positive and negative aspects. The rationale of implementing an analysis of the evolutionary process of portfolio theory lies in the intention to provide a systematic overview of the development of theoretical thought within this area and grounded on the belief that accumulated knowledge in the field of portfolio theory and portfolio management is one of the most valuable knowledge assets of contemporary society.
APA, Harvard, Vancouver, ISO, and other styles
10

Müller, Heinz H. "Modern Portfolio Theory: Some Main Results." ASTIN Bulletin 18, no. 2 (November 1988): 127–45. http://dx.doi.org/10.2143/ast.18.2.2014947.

Full text
Abstract:
AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Modern Portfolio Theory"

1

Raubenheimer, Heidi. "Contributions to modern portfolio theory." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/9741.

Full text
Abstract:
Includes bibliographical references.
Fund managers and investors are confronted with the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, thereby expanding the investment universe for South African investors. Moreover, portfolio selection in South Africa is being transformed increasingly from being the exclusive domain of high net worth individuals, trustees and their investment managers to being the domain and responsibility of the man on the street. The Unit Trust industry started in South Africa in 1965 and gave the lower net worth individual a vehicle with which to invest in a diverse investment portfolio. This industry has proved very popular and has expanded from only 8 funds in 1980 to 338 funds and 136 billion rands under management in November 2000. Moreover the past two years, 1999 and 2000, has seen a change in the pension fund industry from defined benefit (DB) to defined contribution (DC) pension funds, transferring more of the risk and the responsibility of portfolio selection onto pension fund members. With increasing demand for fund management and investment advice by pension fund members and individual investors alike, the financial services industry in South Africa has also expanded. The consequent competition for assets of all descriptions have led, one hopes, to a more efficient market in equity, fixed income and derivative products. Thus modern portfolio theory has come a long way and will have to go further in meeting the demand to assist investors in their decision making.
APA, Harvard, Vancouver, ISO, and other styles
2

Persson, Jakob, Carl Lejon, and Kristian Kierkegaard. "Practical Application of Modern Portfolio Theory." Thesis, Jönköping University, JIBS, Accounting and Finance, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-657.

Full text
Abstract:

There are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking.

The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investing in an index portfolio. Combining a strong portfolio that beats the market in the longrun would be the ultimate goal for most investors.

The theories that are used to analyze the problem and the empirical findings provide the essential concepts such as standard deviation, risk and return of the portfolio. Further, diversification, correlation and covariance are used to achieve the optimal risky portfolio. There will be a walk-through of the MPT, with the efficient frontier as the graphical guide to express the optimal risky portfolio.

The methodology constitutes as the frame for the thesis. The quantitative method is used since the data input is gathered from historical data. This thesis is based on existing theories, and the deductive approach aims to use these theories in order to accomplish a valid and accurate analysis. The benchmark that is used to compare the results from the portfolio is the Stockholm stock exchange OMX 30. This index mimics and reflects the market as a whole. The portfolio will be reweighed at a preplanned schedule, each quarter to constantly obtain an optimal risky portfolio.

The finding from this study indicates that the actively managed portfolio outperforms the passive benchmark during the selected timeframe. The outcome someway differs when evaluating the risk adjusted result and becomes less significant. The risk adjusted result does not provide any strong evidence for a greater return than index. Finally, with this finding, the authors can conclude by stating that an actively managed optimal risky portfolio with guidance of the MPT can surpass the OMX 30 within the selected timeframe.

APA, Harvard, Vancouver, ISO, and other styles
3

Hamrin, Erik. "A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-89812.

Full text
Abstract:
Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. This paper elaborates on these short comings and applies a heuristic downside risk approach to avoid the pitfalls inherent in the mean variance framework. The result of the downside risk approach is compared and contrasted with the result of the mean variance framework. The return data refers to the real estate sector in Sweden and diversification is reached through property type and geographical location. The result reveals that diversification is reached differently between the two approaches. The downside risk measure applied here frequently diversifies successfully with use of fewer proxies. The efficient portfolios derived also reveals that the downside risk approach would have contributed to a historically higher average total return. This paper outlines a framework for portfolio diversification, the result is empirical and further research is needed in order to grasp the potential of the downside risk measures.
APA, Harvard, Vancouver, ISO, and other styles
4

Jablonský, Petr. "Performance downside risk models of the post-modern portfolio theory." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-161865.

Full text
Abstract:
The thesis provides a comparison of different portfolio models and tests their performance on the financial markets. Our analysis particularly focuses on comparison of the classical Markowitz modern portfolio theory and the downside risk models of the post-modern portfolio theory. In addition, we consider some alternative portfolio models ending with total eleven models that we test. If the performance of different portfolio models should be evaluated and compared correctly, we must use a measure that is unbiased to any portfolio theory. We suggest solving this issue via a new approach based on the utility theory and utility functions. We introduce the unbiased method for evaluation of the portfolio model performance using the expected utility efficient frontier. We use the asymmetric behavioural utility function to capture the behaviour of the real market investors. The Markowitz model is the leading market practice. We investigate whether there are any circumstances in which some other models might provide better performance than the Markowitz model. Our research is for three reasons unique. First, it provides a comprehensive comparison of broad classes of different portfolio models. Second, we focus on the developed markets in United States and Germany but also on the local emerging markets in Czech Republic and Poland. These local markets have never been tested in such extent before. Third, the empirical testing is based on the broad data set from 2003 to 2012 which enable us to test how different portfolio model perform in different macroeconomic conditions.
APA, Harvard, Vancouver, ISO, and other styles
5

Ljungberg, Axel, and Anton Högstedt. "Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104540.

Full text
Abstract:
This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. Through the process of creating efficient frontiers and weighting the portfolios differently we create two alternative portfolios each year. One portfolio that aimsfor maximum Sharpe ratio and one that aims for minimum variance. These weighted portfolios produce higher risk-adjusted returns consistently during the examined period of 2010-2020. We conclude that the Magic Formula can be improved by using modern portfolio theory.
APA, Harvard, Vancouver, ISO, and other styles
6

Duggal, Rahul, and Tawfiq Shams. "Modern Portfolio Trading with Commodities." Thesis, Mälardalen University, School of Sustainable Development of Society and Technology, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9990.

Full text
Abstract:

There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.

In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.

APA, Harvard, Vancouver, ISO, and other styles
7

Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.

Full text
Abstract:
In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a low level of risk. For companies that might engage in costly hedging activities on the futures market, the benefits of creat- ing a contingent hedge are several. These include creating an optimized portfolio that minimizes risk and avoid trading contracts on futures markets that would incur hefty transaction costs and risks. Using quantitative financial models, product portfolio compositions are generated and compared with the returns and risks profile of individual commodities, as well as the actual product portfolio compositions of publicly traded mining companies. Us- ing Modern Portfolio Theory an efficient frontier is generated, yielding two inde- pendent portfolios, the minimum risk portfolio and the tangency portfolio. The Black-Litterman model is also used to generate yet another portfolio using a Bayesian approach. The portfolios are generated by historic time-series data and compared with the actual future development of commodities; the portfolios are then analyzed and compared. The results indicate that the minimum risk portfolio provides a signif- icantly lower risk than the compositions of all mining companies in the study, as well as the risks of individual commodities. This in turn will lead to several benefits for company management and the firm’s shareholders that are discussed throughout the study. However, as for a return-optimizing portfolio, no significant results can be found. Furthermore, the analysis suggests a series of improvements that could potentially yield an even greater result. The recommendation is that mining companies can use the methods discussed throughout this study as a way to generate a costless contin- gent hedge, rather than engage in hedging activities on futures markets.
APA, Harvard, Vancouver, ISO, and other styles
8

Nelson, Marco. "Information technology portfolio management proof of concept modern portfolio theory with KVA and ROI analysis." Thesis, Monterey, California. Naval Postgraduate School, 2010. http://hdl.handle.net/10945/5148.

Full text
Abstract:
Approved for public release; distribution is unlimited
The basic research question guiding this thesis is: "How can Modern Portfolio Theory (MPT) be defensibly applied to DoD Information Technology (IT) portfolio optimization problems?" The research will demonstrate how to derive the appropriate raw performance, volatility data, required to remain consistent with MPT assumptions and methodology. This thesis accomplishes this research objective by establishing a notional IT beta to apply a MPT approach for asset allocation within the Department of Defense (DoD). Data from three previous RFID implementation case studies were used, where the Knowledge Value Added (KVA) methodology was applied to estimate the return on investment (ROI) produced by IT. The KVA methodology is essential for the application of this thesis because it provides the framework for the allocation of surrogate revenue and cost streams into core processes where RFID technology was implemented. The ROI estimates of volatility act as a surrogate for equity price volatility, allowing application of the Modern Portfolio Theory (MPT) approach in the nonprofit sector.
APA, Harvard, Vancouver, ISO, and other styles
9

Rocha, Emília Marília de Lima. "Security selection in post-modern portfolio theory : an application to the European stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13094.

Full text
Abstract:
Mestrado em Finanças
Neste trabalho, comparamos as carteiras tangentes e carteiras de risco mínimo obtidas com a teoria moderna da carteira (MPT) e a teoria pós-moderna da carteira (PMPT) com o propósito de analisar as diferenças na seleção de ações. Baseamos o nosso estudo num conjunto de 16 ações do índice EURO STOXX 50 e estimamos os inputs com dados históricos entre 1997 e 2015. Para medir o risco na PMPT, usamos a semivariância em relação a três retornos alvo - 0, a taxa de juro sem risco e a taxa de retorno do mercado bolsista Europeu. Para atestar a robustez dos resultados, replicamos a análise estimando os inputs a partir de modelos de equilíbrio. Observamos que as carteiras da PMPT escolhem ações que exibem uma distribuição de retorno com assimetria positiva e/ou leptocúrtica. Adicionalmente, a composição destas carteiras privilegia ações com baixa semivariância, caracterizada por baixa frequência de retornos inferiores ao retorno alvo e/ou baixo desvio médio.
In this work, we compare tangent portfolios and minimum risk portfolios derived from the modern portfolio theory (MPT) and the post-modern portfolio theory (PMPT) to analyse the differences in stock selection. We base our study on a set of 16 stocks included in the EURO STOXX 50 index and estimate inputs from historical data since 1997 until 2015. To measure risk in PMPT, we use semivariance in relation to three target returns - 0, the risk-free rate and the European stock market return. To attest the results' robustness, we replicate the analysis estimating inputs from equilibrium models. We find that PMPT's portfolios select stocks that display return distributions with positive skewness and/or leptokurtosis. Additionally, these portfolios' composition favors stocks with low semivariance, characterized by low downside frequency and/or average downside deviation.
info:eu-repo/semantics/publishedVersion
APA, Harvard, Vancouver, ISO, and other styles
10

Mupambirei, Rodwel. "Dynamic and robust estimation of risk and return in modern portfolio theory." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/4913.

Full text
Abstract:
Includes abstract.
Includes bibliographical references (leaves 134-138).
The portfolio selection method developed by Markowitz gives a rational investor a way of evaluating different investment options in a portfolio using the expected return and variance of the returns. Sharpe uses the same optimization approach but estimates the mean and covariance in a regression framework using the index models. Sharpe makes a crucial assumption that the residuals from different assets are uncorrelated and that the beta estimates are constant. When the Sharpe model parameters are estimated using ordinary least squares, the regression assumptions are violated when there is significant autocorrelation and heteroskedasticity in the residuals. Furthermore, the presence of outlying observations in the data leads to unreliable estimates when the ordinary least squares method is used. We find significant correlation in the residuals from different shares and thus we use the Troskie-Hossain model which relaxes this assumption and ultimately produces an efficient frontier that is almost identical to the Markowitz model. The combination of the GARCH and AR models to remove both autocorrelation and heteroskedasticity is used on the single index model and it causes the efficient frontier to shift significantly to the left. Using dynamic estimation through the Kalman filter, it is noticed that the beta coefficients are not constant and that the resulting efficient frontiers significantly outperform the Sharpe model. In order to deal with the problem of outlying observations in the data, we propose using the Minimum Covariance Determinant, (MCD) estimator as a robust version of the Markowitz formulation. Robust alternatives to the ordinary lea.st squares estimator are also investigated and they all cause the efficient frontier to shift to the left. Finally, to solve the problem of collinearity in the multiple index framework, we construct orthogonal indices using principal components regression to estimate the efficient frontier.
APA, Harvard, Vancouver, ISO, and other styles
More sources

Books on the topic "Modern Portfolio Theory"

1

1957-, Srivastava Sanjay, ed. Modern portfolio theory. Cincinnati, Ohio: South-Western College Pub., 1995.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
2

Elton, Edwin J. Modern portfolio theory andinvestment analysis. 3rd ed. New York: Wiley, 1987.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
3

J, Elton Edwin, ed. Modern portfolio theory and investment analysis. 8th ed. Hoboken, NJ: J. Wiley & Sons, 2009.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

Commission, Manitoba Law Reform. Trustee investments: The modern portfolio theory. Winnipeg: The Commission, 1999.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

J, Elton Edwin, ed. Modern portfolio theory and investment analysis. 7th ed. Hoboken, NJ: J. Wiley & Sons, 2007.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
6

Elton, Edwin J. Modern portfolio theory and investment analysis. 4th ed. New York: Wiley, 1991.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
7

J, Gruber Martin, ed. Modern portfolio theory and investment analysis. 5th ed. New York: Wiley, 1995.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
8

1937-, Gruber Martin Jay, ed. Modern portfolio theory and investment analysis. 3rd ed. New York: Wiley, 1987.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
9

J, Elton Edwin, and Elton Edwin J, eds. Modern portfolio theory and investment analysis. 6th ed. New York: J. Wiley & Sons, 2003.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
10

Elton, Edwin J. Modern portfolio theory and investment analysis. 3rd ed. New York: Wiley, 1987.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Book chapters on the topic "Modern Portfolio Theory"

1

Chen, James Ming. "Modern Portfolio Theory." In Postmodern Portfolio Theory, 5–25. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-54464-3_2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Lindquist, W. Brent, Svetlozar T. Rachev, Yuan Hu, and Abootaleb Shirvani. "Modern Portfolio Theory." In Dynamic Modeling and Econometrics in Economics and Finance, 29–48. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-15286-3_3.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Lynn, David, and Yusheng Hao. "Active Portfolio Management Using Modern Portfolio Theory." In Active Private Equity Real Estate Strategy, 187–215. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119198642.ch11.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Inci, Ahmet Can. "Modern Portfolio Theory and Optimization." In Contemporary Issues in Quantitative Finance, 80–101. London: Routledge, 2023. http://dx.doi.org/10.4324/9781003213697-6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Schulmerich, Marcus, Yves-Michel Leporcher, and Ching-Hwa Eu. "Modern Portfolio Theory and Its Problems." In Applied Asset and Risk Management, 101–73. Berlin, Heidelberg: Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-55444-5_2.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

van der Meulen, Jan. "Applicability and Future of Modern Portfolio Theory." In Contributions to Management Science, 49–58. Heidelberg: Physica-Verlag HD, 1993. http://dx.doi.org/10.1007/978-3-642-46938-1_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Suzuki, Makoto. "A Benefit from the Modern Portfolio Theory for Japanese Pension Investment." In Handbook of Portfolio Construction, 675–90. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77439-8_26.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Brown, James R. "Managing the Retail Format Portfolio: An Application of Modern Portfolio Theory." In Developments in Marketing Science: Proceedings of the Academy of Marketing Science, 329. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-18687-0_122.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Viezer, Timothy W. "The Application of Modern Portfolio Theory to Real Estate: A Brief Survey." In Handbook of Portfolio Construction, 733–60. Boston, MA: Springer US, 2010. http://dx.doi.org/10.1007/978-0-387-77439-8_29.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Pouchkarev, Igor, Jaap Spronk, and Pim van Vliet. "Portfolio Return Characteristics of Different Industries." In Modern Concepts of the Theory of the Firm, 434–48. Berlin, Heidelberg: Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-662-08799-2_27.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Modern Portfolio Theory"

1

Yang, Ruojing. "Optimizing the Real Estate Portfolio Decision Model Based on Modern Portfolio Theory." In 2011 Fourth International Joint Conference on Computational Sciences and Optimization (CSO). IEEE, 2011. http://dx.doi.org/10.1109/cso.2011.195.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Liu, Yumeng. "Application of Modern Portfolio Theory in Stock Market." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.432.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Hou, Zehan, Zeyu Li, and Yang Zhou. "Review on the Modern portfolio theory and optimization model." In 2017 International Conference on Innovations in Economic Management and Social Science (IEMSS 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/iemss-17.2017.139.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

"A Comparative Study of Intelligent Techniques for Modern Portfolio Management." In International Conference on Evolutionary Computation Theory and Applications. SciTePress - Science and and Technology Publications, 2012. http://dx.doi.org/10.5220/0004114102680272.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

"Research on Capital Portfolio Decision Based on Fuzzy Decision-making Theory." In 2018 4th International Conference on Social Sciences, Modern Management and Economics. Clausius Scientific Press, 2018. http://dx.doi.org/10.23977/ssmme.2018.62204.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Maknickienė, Nijolė, and Darius Sabaliauskas. "Investment portfolio analysis by using neural networks." In Contemporary Issues in Business, Management and Economics Engineering. Vilnius Gediminas Technical University, 2019. http://dx.doi.org/10.3846/cibmee.2019.028.

Full text
Abstract:
Purpose – the purpose of the article is to compare the formation of portfolios and to make predictions about how it will change. Research methodology – for analysis, optimization and predictions use the neural network models that are created using a neural recurrent long short-term memory cell architecture network and Markowitz’s modern portfolio theory Findings – this article compares the portfolios of IT field with different instruments and level of optimization. Research limitations – the main limit of the article is that only historical data is used. The real-time investment would check the performance of the portfolio creation methodology under uncertain conditions. Practical implications – the results of the article give opportunities for investors and speculators in the finance market by using neural networks for forming investment portfolios, as well as analysing and predicting their changes. Originality/Value – the growing high-tech use in financial markets changes our habits and our understanding of the surrounding world. The financial sphere has also had several changes, and it has undergone major changes that will change the approach to producing financial forecasts and analysis. Including Artificial Intelligence in these processes brings new innovative opportunities.
APA, Harvard, Vancouver, ISO, and other styles
7

Hu, Jiaming. "Application of Modern Portfolio Theory in Stock Market based on Empirical analysis." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Paris, France: Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.255.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Yun, Qiuchen, Liting Tian, Fang Zhang, and Lin Cheng. "Optimization of Heterogeneous Resources Combination using Virtual Power Plant based on Modern Portfolio Theory." In 2020 IEEE Sustainable Power and Energy Conference (iSPEC). IEEE, 2020. http://dx.doi.org/10.1109/ispec50848.2020.9351224.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Fischer, Jim. "MODERN PORTFOLIO THEORY AND THE EFFICIENT MARKETS HYPOTHESIS: HOW WELL DID THEY SERVE CANADA’S BABY-BOOM GENERATION?" In 12th Economics & Finance Conference, Dubrovnik. International Institute of Social and Economic Sciences, 2019. http://dx.doi.org/10.20472/efc.2019.012.006.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Faulder, D. D., and F. L. Moseley. "A "Top Down" Approach for Applying Modern Portfolio Theory to Oil and Gas Property Investments." In SPE Hydrocarbon Economics and Evaluation Symposium. Society of Petroleum Engineers, 2003. http://dx.doi.org/10.2118/82028-ms.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "Modern Portfolio Theory"

1

Dimmock, Stephen, Neng Wang, and Jinqiang Yang. The Endowment Model and Modern Portfolio Theory. Cambridge, MA: National Bureau of Economic Research, February 2019. http://dx.doi.org/10.3386/w25559.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Goetzmann, William, and Andrey Ukhov. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach. Cambridge, MA: National Bureau of Economic Research, April 2005. http://dx.doi.org/10.3386/w11266.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Gálvez, Julio, and Gonzalo Paz-Pardo. Richer earnings dynamics, consumption and portfolio choice over the life cycle. Madrid: Banco de España, November 2022. http://dx.doi.org/10.53479/23686.

Full text
Abstract:
Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to better understand the limited participation of households in the stock market and their low holdings of risky assets. Because households are subject to more background risk than previously considered, the estimated model implies a substantially lower coeffcient of risk aversion and a lower optimal risky share for older workers with low wealth and high earnings.
APA, Harvard, Vancouver, ISO, and other styles
4

Gálvez, Julio, and Gonzalo Paz-Pardo. Richer earnings dynamics, consumption and portfolio choice over the life cycle. Madrid: Banco de España, November 2022. http://dx.doi.org/10.53479/23706.

Full text
Abstract:
Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that, in the context of a structurally estimated life-cycle portfolio choice model, allowing for these rich features of earnings dynamics helps to better understand the limited participation of households in the stock market and their low holdings of risky assets. Because households are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk aversion and a lower optimal risky asset share for older workers with low wealth and high earnings.
APA, Harvard, Vancouver, ISO, and other styles
5

Willis, Larkin, and Monica R. Martinez. Authentic Student Work in College Admissions: Lessons From the Ross School of Business. Learning Policy Institute, January 2023. http://dx.doi.org/10.54300/756.774.

Full text
Abstract:
To develop holistic review processes, admission professionals are changing the ways they structure applications for undergraduate admissions. This study examines how the Stephen M. Ross School of Business (Ross School) at the University of Michigan requests, collects, and reviews portfolios of student work along with traditional application materials. The first section presents the rationale for the new holistic review process, the second shares insights it provides the Ross School, and the third details how admission professionals at the Ross School built it. The case illuminates the use of student-generated portfolios as one possible model for other higher education systems seeking to evolve their holistic admission processes.
APA, Harvard, Vancouver, ISO, and other styles
6

Lavoie, D., N. Pinet, S. Zhang, J. Reyes, C. Jiang, O. H. Ardakani, M. M. Savard, et al. Hudson Bay, Hudson Strait, Moose River, and Foxe basins: synthesis of Geo-mapping for Energy and Minerals program activities from 2008 to 2018. Natural Resources Canada/CMSS/Information Management, 2022. http://dx.doi.org/10.4095/326090.

Full text
Abstract:
As part of its Geo-mapping for Energy and Minerals program, the Geological Survey of Canada included the Hudson Bay Basin in its research portfolio with the goal of generating a modern understanding of its geological framework and a precise knowledge of its hydrocarbon systems. The Hudson Bay-Foxe Basins GEM-1 project led to the proposal of modern stratigraphic frameworks and produced extensive geochemical data on hydrocarbon source rocks as well as data on diverse burial-thermal indicators. Satellite data were acquired over the entire offshore domain in the search for evidence for active hydrocarbon systems. For the Hudson-Ungava GEM-2 project, the aim of the research activities was to better understand local and regional factors associated with the burial and exhumation histories as they pertain to regional or local hydrocarbon prospectivity. This research led to a basin-scale stratigraphic framework coupled with detailed analyses of hydrocarbon generation and the appraisal of the best potential reservoir units.
APA, Harvard, Vancouver, ISO, and other styles
7

Hale, Thomas, Andreas Klasen, Norman Ebner, Bianca Krämer, and Anastasia Kantzelis. Towards Net Zero export credit: current approaches and next steps. Blavatnik School of Government, July 2021. http://dx.doi.org/10.35489/bsg-wp_2021/042.

Full text
Abstract:
As the world economy rapidly decarbonises to meet global climate goals, the export credit sector must keep pace. Countries representing over two-thirds of global GDP have now set net zero targets, as have hundreds of private financial institutions. Public and private initiatives are now working to develop new standards and methodologies for shifting investment portfolios to decarbonisation pathways based on science. However, export credit agencies (ECAs) are only at the beginning stages of this seismic transformation. On the one hand, the net zero transition creates risks to existing business models and clients for the many ECAs, while on the other, it creates a significant opportunity for ECAs to refocus their support to help countries and trade partners meet their climate targets. ECAs can best take advantage of this transition, and minimise its risks, by setting net zero targets and adopting credible plans to decarbonise their portfolios. Collaboration across the sector can be a powerful tool for advancing this goal.
APA, Harvard, Vancouver, ISO, and other styles
8

Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, September 2021. http://dx.doi.org/10.32468/be.1171.

Full text
Abstract:
We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.
APA, Harvard, Vancouver, ISO, and other styles
9

Nechaev, V., Володимир Миколайович Соловйов, and A. Nagibas. Complex economic systems structural organization modelling. Politecnico di Torino, 2006. http://dx.doi.org/10.31812/0564/1118.

Full text
Abstract:
One of the well-known results of the theory of management is the fact, that multi-stage hierarchical organization of management is unstable. Hence, the ideas expressed in a number of works by Don Tapscott on advantages of network organization of businesses over vertically integrated ones is clear. While studying the basic tendencies of business organization in the conditions of globalization, computerization and internetization of the society and the results of the financial activities of the well-known companies, the authors arrive at the conclusion, that such companies, as IBM, Boeing, Mercedes-Benz and some others companies have not been engaged in their traditional business for a long time. Their partner networks performs this function instead of them. The companies themselves perform the function of system integrators. The Tapscott’s idea finds its confirmation within the framework of a new powerful direction of the development of the modern interdisciplinary science – the theory of the complex networks (CN) [2]. CN-s are multifractal objects, the loss of multifractality being the indicator of the system transition from more complex state into more simple state. We tested the multifractal properties of the data using the wavelet transform modulus maxima approach in order to analyze scaling properties of our company. Comparative analysis of the singularity spectrumf(®), namely, the difference between maximum and minimum values of ® (∆ = ®max ¡ ®min) shows that IBM company is considerably more fractal in comparison with Apple Computer. Really, for it the value of ∆ is equal to 0.3, while for the vertically integrated company Apple it only makes 0.06 – 5 times less. The comparison of other companies shows that this dependence is of general character. Taking into consideration the fact that network organization of business has become dominant in the last 5-10 years, we carried out research for the selected companies in the earliest possible period of time which was determined by the availability of data in the Internet, or by historically later beginning of stock trade of computer companies. A singularity spectrum of the first group of companies turned out to be considerably narrower, or shifted toward the smaller values of ® in the pre-network period. The latter means that dynamic series were antipersistant. That is, these companies‘ management was rigidly controlled while the impact of market mechanisms was minimized. In the second group of companies if even the situation did changed it did not change for the better. In addition, we discuss applications to the construction of portfolios of stock that have a stable ratio of risk to return.
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Modern Portfolio Theory' for particular source types:
Journal articles Dissertations / Theses Books
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography