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Journal articles on the topic 'Modern Portfolio Theory'

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Published: 4 June 2021
Last updated: 10 March 2023

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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.

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2

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

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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.

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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.
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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.

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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.

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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.

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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
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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.

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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.
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8

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

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9

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

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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.
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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.

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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.
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11

Müller, Heinz H. "Modern Portfolio Theory: Some Main Results." ASTIN Bulletin 19, S1 (November 1989): 9–27. http://dx.doi.org/10.1017/s051503610000859x.

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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.
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12

Ćosić, Karlo, and Anita Čeh Časni. "The impact of cryptocurrency on the efficient frontier of emerging markets." Croatian Review of Economic, Business and Social Statistics 5, no. 2 (December 1, 2019): 64–75. http://dx.doi.org/10.2478/crebss-2019-0012.

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AbstractCryptocurrencies are a sweltering topic in modern times of investment strategies. Since the cryptocurrency market is classified as an emerging market, in this paper a portfolio of emerging markets is compiled from the indices of four European Union (EU) countries and one cryptocurrency. The aim of this paper is to investigate how the incorporation of the Bitcoin cryptocurrency into the portfolio affects the performance of the portfolios of these countries. Moreover, by drawing an efficient frontier, the paper identifies where Bitcoin stands relative to other indices in the portfolio. The countries whose indices were used in the analysis are: Croatia, Hungary, Romania and Poland during the period from July 13, 2018 to June 07, 2019. The method used for an efficient frontier formation is Markowitz’s Modern Portfolio Theory (MPT). By applying this theory, the minimum variance portfolio at the efficient frontier was created for the portfolio with and without the cryptocurrency. The empirical analysis indicates that Bitcoin improves the effectiveness of the portfolio in emerging markets of the selected EU countries, where the expected risks of a portfolio that includes the cryptocurrency are smaller and with higher returns than those of portfolios without Bitcoin. From the Markowitz’s theory point of view, the results of the empirical analysis also indicate that Bitcoin is on the efficient frontier. Since all instruments on the efficient frontier according to the modern portfolio theory are efficient, it can be concluded that investments in such instruments depend on investor’s risk aversion.
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13

Beuhler, M. "Application of modern financial portfolio theory to water resource portfolios." Water Supply 6, no. 5 (October 1, 2006): 35–41. http://dx.doi.org/10.2166/ws.2006.828.

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Modern portfolio theory developed for financial markets has application to water resource portfolios. It can help make decisions on how to optimally meet future water needs. By explicitly considering volatility and correlations among water resource alternatives, rational resource combinations can be selected. It enables water planners to decide how much to invest in traditional ways to meet water needs such as surface and groundwater supplies and to decide how much to invest in non-traditional, more expensive supplies such as recycling, conservation, and desalination. It enables explicit risk reduction of systematic risks due to the hydrologic cycle such as drought, and non-systematic risks such as water quality, climate, and energy. This paper describes a qualitative application of modern portfolio theory to water resources. Quantitative application will require the development of additional data.
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14

Chen, Yifei, and Junjian Lu. "The origination and progress of modern portfolio theory." BCP Business & Management 20 (June 28, 2022): 1040–46. http://dx.doi.org/10.54691/bcpbm.v20i.1097.

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Portfolio construction plays a vital role in investment decision. In this paper, we demonstrate the origination and progress of the modern asset portfolio theory as well as the state-of-art applications. Specifically, we discuss the measure to optimal portfolio configuration and apply Python to analyzing portfolio configuration. According to the analysis based on Markowitz portfolio theory, one can obtain the portfolio with the smallest risk or the largest Sharpe ratio and the efficient boundary among the portfolio composed of multiple assets. Investors can make rational investment according to their actual ability and risk preference. Overall, these results shed light on the combining traditional financial theory with emerging programming language to address financial issues more quickly and efficiently.
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15

Poitras, Geoffrey, and John Heaney. "Classical Ergodicity and Modern Portfolio Theory." Chinese Journal of Mathematics 2015 (August 2, 2015): 1–17. http://dx.doi.org/10.1155/2015/737905.

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What role have theoretical methods initially developed in mathematics and physics played in the progress of financial economics? What is the relationship between financial economics and econophysics? What is the relevance of the “classical ergodicity hypothesis” to modern portfolio theory? This paper addresses these questions by reviewing the etymology and history of the classical ergodicity hypothesis in 19th century statistical mechanics. An explanation of classical ergodicity is provided that establishes a connection to the fundamental empirical problem of using nonexperimental data to verify theoretical propositions in modern portfolio theory. The role of the ergodicity assumption in the ex post/ex ante quandary confronting modern portfolio theory is also examined.
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16

Fabozzi, Frank J., Francis Gupta, and Harry M. Markowitz. "The Legacy of Modern Portfolio Theory." Journal of Investing 11, no. 3 (August 31, 2002): 7–22. http://dx.doi.org/10.3905/joi.2002.319510.

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17

Bobrova, Elena Alexandrovna, Lidia Viktorovna Mazur, and Victoria Vladimirovna Malaschenko. "Markowitz portfolio theory under modern conditions." Economic Environment, no. 2 (2021): 78–83. http://dx.doi.org/10.36683/2306-1758/2021-2-36/78-83.

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18

Zhou, Xiaoting. "CAPM MODEL AND MODERN PORTFOLIO THEORY ." International Journal of Social Science and Economic Research 6, no. 5 (May 30, 2021): 1410–29. http://dx.doi.org/10.46609/ijsser.2021.v06i05.003.

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19

Dunlop, John. "Modern Portfolio Theory Meets Wind Farms." Journal of Private Equity 7, no. 2 (February 29, 2004): 83–95. http://dx.doi.org/10.3905/jpe.2004.391052.

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20

Hubbard, Jonathan. "The Legacy of Modern Portfolio Theory." CFA Digest 33, no. 2 (May 2003): 50–52. http://dx.doi.org/10.2469/dig.v33.n2.1273.

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21

Curtis, Gregory. "Modern Portfolio Theory and Quantum Mechanics." Journal of Wealth Management 5, no. 3 (October 31, 2002): 7–13. http://dx.doi.org/10.3905/jwm.2002.320449.

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22

Curtis, Gregory. "Modern Portfolio Theory and Behavioral Finance." Journal of Wealth Management 7, no. 2 (July 31, 2004): 16–22. http://dx.doi.org/10.3905/jwm.2004.434562.

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23

Silver, Kenneth. "Modern Portfolio Theory and Shareholder Primacy." Business Ethics Journal Review 7, no. 6 (September 23, 2019): 34–39. http://dx.doi.org/10.12747/bejr2019.07.06.

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24

Elton, Edwin J., and Martin J. Gruber. "Modern portfolio theory, 1950 to date." Journal of Banking & Finance 21, no. 11-12 (December 1997): 1743–59. http://dx.doi.org/10.1016/s0378-4266(97)00048-4.

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25

Clarkson, R. S. "The measurement of investment risk." Journal of the Institute of Actuaries 116, no. 1 (June 1989): 127–78. http://dx.doi.org/10.1017/s0020268100036489.

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1.1 In the paper ‘Improving the Performance of Equity Portfolios’ by Clarkson and Plymen the authors concluded that Modern Portfolio Theory methods made no contribution whatever to improving the performance of equity portfolios and suggested that attention should be paid instead to the application of fundamental analysis, which—if carried out by skilled and experienced analysts—should lead to higher expected returns. The only practical application of techniques related to Modern Portfolio Theory appeared to be in the area of Index Funds, where it is desired to track the performance of a chosen index as closely as possible.
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26

Merikhi, Elham, and Ofer Zwikael. "Customizing Modern Portfolio Theory for the Project Portfolio Selection Problem." Academy of Management Proceedings 2017, no. 1 (August 2017): 13178. http://dx.doi.org/10.5465/ambpp.2017.13178abstract.

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27

Rodríguez, Yeny E., Juan M. Gómez, and Javier Contreras. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory." North American Journal of Economics and Finance 58 (November 2021): 101508. http://dx.doi.org/10.1016/j.najef.2021.101508.

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28

Holovatiuk, Olha. "Cryptocurrencies as an asset class in portfolio optimisation." Central European Economic Journal 7, no. 54 (September 9, 2020): 33–55. http://dx.doi.org/10.2478/ceej-2020-0004.

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AbstractIn this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor's portfolio. We used 6 indices as proxies for the major asset classes, including the cryptocurrency index CRIX, for all cryptographic assets.Cryptocurrencies relatively fully satisfied 7 asset class requirements, namely stable aggregation, investability, internal homogeneity, external heterogeneity, expected utility, selection skill and cost-effective access. It was found that crypto assets have diversification properties. Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios with the inclusion of CRIX. However, the Post-Modern Portfolio Theory identified significant deterioration of the downside risk and the Sortino ratio.
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29

Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this problem, the method of Harry Markowitz, known as modern portfolio theory, was chosen. This is the theory of financial investment, in which statistical methods are used to make the most profitable risk distribution of the securities portfolio and income valuation, its components are asset valuation, investment decisions, portfolio optimization, evaluation of results. From a mathematical point of view, the problem of forming an optimal portfolio is the problem of optimizing a quadratic function (finding the minimum) with linear constraints on the arguments of the function. Methods of optimization of portfolios of energy saving projects taking into account the specifics of the subject area are analyzed. According to the results of the analysis, the methods of finding the maximum Sharpe’s ratio and the minimum volatility from randomly generated portfolios were chosen. A software application has been developed that allows you to download data, generate random portfolios and optimize them with selected methods. A graphical display of portfolio optimization results has also been implemented. The program was tested on data on shares of energy saving companies. The graphs built by the program allow the operator to better assess the created portfolio of the energy saving project.
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30

Huang, Zi’an. "Investment Portfolio Management Based on Realistic US’s Stock Data with Two Models." BCP Business & Management 26 (September 19, 2022): 929–36. http://dx.doi.org/10.54691/bcpbm.v26i.2055.

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Portfolio theory is widely used in the financial field. Let us Suppose we combine the modern investment portfolio theory and diversify the investment portfolio. In that case, we can reduce investment risks and increase the possibility of satisfying all kinds of investors to obtain investment returns. In this article, we mainly consider applying the Markowitz model and the index model in portfolio theory, trying to explore its rate of return in the US market. We found that in the constructed investment portfolio, the portfolio’s return and Sharpe ratio constructed by the Markowitz model are consistent with the performance of the index model. This provides investors with a new investment perspective for portfolio construction.
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31

Rom, Brian M., and Kathleen W. Ferguson. "Post-Modern Portfolio Theory Comes of Age." Journal of Investing 2, no. 4 (November 30, 1993): 27–33. http://dx.doi.org/10.3905/joi.2.4.27.

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32

Rom, Brian M., and Kathleen W. Ferguson. "Post-Modern Portfolio Theory Comes of Age." Journal of Investing 3, no. 3 (August 31, 1994): 11–17. http://dx.doi.org/10.3905/joi.3.3.11.

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33

Cui, Yanjie, and Chulong Cheng. "Modern Portfolio Theory and Application in Australia." Journal of Economics, Business and Management 10, no. 2 (2022): 128–32. http://dx.doi.org/10.18178/joebm.2022.10.2.686.

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34

Knopf, Kevin. "Improving cancer care through modern portfolio theory." Journal of Community and Supportive Oncology 15, no. 3 (May 2017): e125-e126. http://dx.doi.org/10.12788/jcso.0328.

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35

Grasse, Nathan J., Kayla M. Whaley, and Douglas M. Ihrke. "Modern Portfolio Theory and Nonprofit Arts Organizations." Nonprofit and Voluntary Sector Quarterly 45, no. 4 (July 9, 2016): 825–43. http://dx.doi.org/10.1177/0899764015603204.

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36

Tsai, Ming-Feng, and Chuan-Ju Wang. "Post-Modern Portfolio Theory for Information Retrieval." Procedia Computer Science 13 (2012): 80–85. http://dx.doi.org/10.1016/j.procs.2012.09.116.

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37

LEONARD, JANET L. "Modern Portfolio Theory and the prudent hermaphrodite." Invertebrate Reproduction & Development 36, no. 1-3 (September 1999): 129–35. http://dx.doi.org/10.1080/07924259.1999.9652688.

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38

Hoekstra, J. "Improving biodiversity conservation through modern portfolio theory." Proceedings of the National Academy of Sciences 109, no. 17 (April 18, 2012): 6360–61. http://dx.doi.org/10.1073/pnas.1205114109.

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39

Vaclavik, Milan, and Josef Jablonsky. "Revisions of modern portfolio theory optimization model." Central European Journal of Operations Research 20, no. 3 (September 17, 2011): 473–83. http://dx.doi.org/10.1007/s10100-011-0227-2.

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40

Shin, Sangmin, and Heekyung Park. "Achieving cost-efficient diversification of water infrastructure system against uncertainty using modern portfolio theory." Journal of Hydroinformatics 20, no. 3 (February 2, 2018): 739–50. http://dx.doi.org/10.2166/hydro.2018.240.

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Abstract Recent water-related disasters have shown that not all disrupted events are prevented with water infrastructure systems and current water systems are becoming more vulnerable to disruptions due to the high uncertainty of disrupted events. Many scholars in various fields suggest diversification in the system as a way to respond to the uncertainty. In the real world, however, it is difficult to maximize its use, especially with water infrastructure, due to high costs and incomplete assessment methods. Thus this study attempts to develop a method to quantify cost-effectiveness of diversification using a drought case study in Korea. Modern Portfolio Theory is used to find optimal combinations of water resources infrastructures in terms of diversification. First, expected return and risk of individual water resources for water supply are estimated. Then, expected return and risk of individual portfolios of the water resources are evaluated by varying their shares of 0 to 100%. Finally, non-inferior portfolios are identified and an optimal portfolio for an acceptable return or risk is selected as a solution. Consequently, a portfolio is selected as a desirable one to practically enhance diversification in water infrastructure systems against real world uncertainty in consideration of cost and budget.
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41

Brown, James R. "Managing the retail format portfolio: An application of modern portfolio theory." Journal of Retailing and Consumer Services 17, no. 1 (January 2010): 19–28. http://dx.doi.org/10.1016/j.jretconser.2009.09.001.

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42

Esfahani, Hamed Nasr, Mohammad hossein Sobhiyah, and Vahid Reza Yousefi. "Project Portfolio Selection via Harmony Search Algorithm and Modern Portfolio Theory." Procedia - Social and Behavioral Sciences 226 (July 2016): 51–58. http://dx.doi.org/10.1016/j.sbspro.2016.06.161.

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43

dos Santos, Silvio Francisco, and Humberto Siqueira Brandi. "Selecting portfolios for composite indexes: application of Modern Portfolio Theory to competitiveness." Clean Technologies and Environmental Policy 19, no. 10 (October 29, 2017): 2443–53. http://dx.doi.org/10.1007/s10098-017-1441-y.

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44

Yang, Hyunjun, Hyeonjun Park, and Kyungjae Lee. "A Selective Portfolio Management Algorithm with Off-Policy Reinforcement Learning Using Dirichlet Distribution." Axioms 11, no. 12 (November 23, 2022): 664. http://dx.doi.org/10.3390/axioms11120664.

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Existing methods in portfolio management deterministically produce an optimal portfolio. However, according to modern portfolio theory, there exists a trade-off between a portfolio’s expected returns and risks. Therefore, the optimal portfolio does not exist definitively, but several exist, and using only one deterministic portfolio is disadvantageous for risk management. We proposed Dirichlet Distribution Trader (DDT), an algorithm that calculates multiple optimal portfolios by taking Dirichlet Distribution as a policy. The DDT algorithm makes several optimal portfolios according to risk levels. In addition, by obtaining the pi value from the distribution and applying importance sampling to off-policy learning, the sample is used efficiently. Furthermore, the architecture of our model is scalable because the feed-forward of information between portfolio stocks occurs independently. This means that even if untrained stocks are added to the portfolio, the optimal weight can be adjusted. We also conducted three experiments. In the scalability experiment, it was shown that the DDT extended model, which is trained with only three stocks, had little difference in performance from the DDT model that learned all the stocks in the portfolio. In an experiment comparing the off-policy algorithm and the on-policy algorithm, it was shown that the off-policy algorithm had good performance regardless of the stock price trend. In an experiment comparing investment results according to risk level, it was shown that a higher return or a better Sharpe ratio could be obtained through risk control.
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45

Zavera, Ioana Coralia. "Application of Markowitz Model on Romanian Stock Market." HOLISTICA – Journal of Business and Public Administration 8, no. 1 (April 1, 2017): 97–103. http://dx.doi.org/10.1515/hjbpa-2017-0008.

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Abstract Performance evaluation of financial instruments has become a concern for more and more economists, while security trading activities have developed over time. “Modern portfolio theory” comprises statistical and mathematical models which describe various ways in order to evaluate and especially analyse profitability and risk of these portfolios. This article offers an application of this type of model on Romanian stock market, the Markowitz model, by focusing on portfolios comprising three securities, and determining the efficient frontier and the minimum variance portfolio.
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46

Sherris, M. "Portfolio selection and matching: a synthesis." Journal of the Institute of Actuaries 119, no. 1 (1992): 87–105. http://dx.doi.org/10.1017/s0020268100019703.

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AbstractThis paper considers a general framework for the selection of assets to meet the liabilities of a life insurance or pension fund. This general framework contains the mean-variance efficient portfolios of modern portfolio theory as a special case. The paper also demonstrates how the portfolio selection and matching approach of Wise (1984a, 1984b, 1987a, 1987b) and Wilkie (1985) fits into this general framework. The matching portfolio is derived as a special case, and is also shown to have implications for determining the central value of the liabilities.
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47

Burkaltseva, D. D., and I. L. Nogas. "FORMATION OF A PORTFOLIO OF FINANCIAL INVESTMENTS ON PRINCIPLES MODERN PORTFOLIO THEORY." Drukerovskij vestnik, no. 1 (January 2016): 98–105. http://dx.doi.org/10.17213/2312-6469-2016-1-98-105.

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48

Hughes, James (Jay) E. "Modern Portfolio Theory, Estate Taxes, and Investor Allocation." Journal of Wealth Management 1, no. 1 (January 31, 1998): 8–11. http://dx.doi.org/10.3905/jwm.1998.409794.

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49

deLlano-Paz, Fernando, Anxo Calvo-Silvosa, Susana Iglesias Antelo, and Isabel Soares. "Energy planning and modern portfolio theory: A review." Renewable and Sustainable Energy Reviews 77 (September 2017): 636–51. http://dx.doi.org/10.1016/j.rser.2017.04.045.

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50

Weng, Y. H., K. A. Crowe, W. H. Parker, D. Lindgren, M. S. Fullarton, and K. J. Tosh. "Using portfolio theory to improve yield and reduce risk in black spruce family reforestation." Silvae Genetica 62, no. 1-6 (December 1, 2013): 232–38. http://dx.doi.org/10.1515/sg-2013-0028.

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AbstractFamily forestry, defined as the deployment of families in mixture into plantations, is becoming an attractive option for black spruce (Picea mariana (Mill.) BSP) in New Brunswick, Canada. With many elite families of black spruce being available, there is a knowledge gap regarding how to compose a mixture of families that optimally balances the objectives of increased yield and reduced risk. This study, based on real field test data, investigates the application of a model based on the modern portfolio theory to optimally balance yield and risk when selecting a portfolio (mixture) of black spruce families to deploy in reforestation. The risk was expressed as the variance of the family portfolio, an effective indicator of yield stability. This is an innovative approach in forestry and it is compared to the currently used method, truncation-deployment, defined as the equal deployment of seed of selected families. Results show that the portfolio theory searched for the combination of yield and stability and produced family portfolios maximizing yield at a given stability or minimizing yield instability at a given yield. The portfolio theory was never inferior in maximizing yield to the truncation- deployment approach when yield stability is a concern. We recommend using portfolio theory to determine family portfolios for family forestry. While this study targets to family forestry, the results may be relevant to other deployment strategies where stability is a concern, such as clonal forestry.
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