Optimal Portfolio Selection
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Optimal Portfolio Selection
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Author : Ignacio Velez-Pareja
language : en
Publisher:
Release Date : 2003
Optimal Portfolio Selection written by Ignacio Velez-Pareja and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Usually in financial textbooks and courses the theory of portfolio selection is taught in a strictly theoretical way. There is a model (Markowitz) that stipulates that an investor has preferences and that she will choose the best portfolio, given her preference curves and an efficient frontier. On the other hand, the Capital Asset Pricing Model (CAPM) is presented as it is: a genial idea that served to simplify and to make operative the Markowitz setup. Most students and practitioners conclude that those models are just inapplicable theory. This is the most rational behavior one can expect. What can an investor do with the textbook recipes to configure an optimal portfolio? Very little. My purpose with this note is to rescue a simple procedure presented by Black (1972), Merton (1973) and later by Levy and Sarnat (1982), Elton and Gruber (1995) and Benninga (1997). They just propose that the optimal portfolio can be found maximizing the slope of the line that joins the point of risk-free return and the efficient frontier. When this maximum tangent is reached, that line is the capital market line (CML) (it is tangent to the efficient frontier). This is a simple procedure that does not require one to calculate the efficient frontier and is an easy task with Excel Solver. It is just one point of the efficient frontier. An example is presented. Keywords CAPM, efficient frontier, porfolio selection, capital market line, optimal portfolio.
Investment Portfolio Selection And Performance Measurement
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Author : Patrick Daum
language : en
Publisher: GRIN Verlag
Release Date : 2012-05-14
Investment Portfolio Selection And Performance Measurement written by Patrick Daum and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-14 with Business & Economics categories.
Seminar paper from the year 2011 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, South Bank University London (Business Faculty), course: Fondmanagement , language: English, abstract: Die Arbeit legt die Portfoliotheorie an Hand eine praktischen Beispiels dar. Auf der Basis von 10 Stocks aus dem FTSE 100 wird das optimale Portfolio errechnet und dessen Performance eingeordnet. ++++ According Warren Buffett, financial investors should never purchase a security, if they cannot accept that the value might be cut in half (Schömann-Finck, 2010). One of the most successful global investors has illustrated with this quote the risks involved in the business of financial investments. In order to optimize risk-return tradeoffs, scientific research has developed efficient diversification techniques. This paper examines the process of portfolio diversification based on a sample of 10 randomly selected securities. First the optimal portfolio is identified in order to evaluate its performance against the market trend via industry accepted benchmarking comparison tools in a second step. Finally, potential portfolio gains, achieved via diversification across additional asset classes, are discussed and evaluated. According to Bodie et al. (2008) the investment decision process can be separated into three major steps (see figure 1): Capital Allocation, Asset Allocation and Security Selection. For the purpose of this paper 100% of the available funds are assumed to be allocated into stocks. The portfolio created (see figure 2) consists of 10 randomly selected securities taken from the FTSE 100 index.
Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint
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Author : Hui Deng (M. Phil.)
language : en
Publisher:
Release Date : 2009
Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint written by Hui Deng (M. Phil.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Portfolio management categories.
Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint
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Author : Hui Deng
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27
Mean Variance Optimal Portfolio Selection With A Value At Risk Constraint written by Hui Deng and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.
This dissertation, "Mean-variance Optimal Portfolio Selection With a Value-at-risk Constraint" by Hui, Deng, 鄧惠, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4189721 Subjects: Risk Portfolio management - Mathematical models
Optimal Portfolio Selection
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Author : Ping Cheng
language : en
Publisher:
Release Date : 2017
Optimal Portfolio Selection written by Ping Cheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Modern Portfolio Theory is a single-period model developed for the efficient securities market, in which asset prices are implicitly assumed to follow a random walk. It is widely agreed that real estate does not fit into the efficient market paradigm; however, mixed-asset portfolio analysis continues to rely on Modern Portfolio Theory. This paper proposes an alternative model that extends the Modern Portfolio Theory to accommodate multi-period utility maximization as well as the unique characteristics of real estate such as liquidity risk, horizon-dependence of real estate returns and high transaction cost. The model is easy to be implemented. Using real world data, it demonstrates the optimal allocation to real estate in the mixed-asset portfolio is quite in line with the reality of institutional portfolios.
Portfolio Selection And Asset Pricing
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Author : Shouyang Wang
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Portfolio Selection And Asset Pricing written by Shouyang Wang and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Developments In Mean Variance Efficient Portfolio Selection
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Author : M. Agarwal
language : en
Publisher: Springer
Release Date : 2014-11-11
Developments In Mean Variance Efficient Portfolio Selection written by M. Agarwal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-11 with Business & Economics categories.
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Optimal Portfolio Selection And Financial Planning
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Author : Sachi T. Purcal
language : en
Publisher:
Release Date : 1996
Optimal Portfolio Selection And Financial Planning written by Sachi T. Purcal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Investment analysis categories.
Optimal Portfolio Selection Using Means Variances And Higher Moments
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Author : Walter Francis Hlawitschka
language : en
Publisher:
Release Date : 1989
Optimal Portfolio Selection Using Means Variances And Higher Moments written by Walter Francis Hlawitschka and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Portfolio management categories.
Optimal Portfolio Selection For The Small Investor Considering Risk And Transaction Costs
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Author : Rainer Baule
language : en
Publisher:
Release Date : 2013
Optimal Portfolio Selection For The Small Investor Considering Risk And Transaction Costs written by Rainer Baule and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A direct application of classical portfolio selection theory is problematic for the small investor, since transaction costs in the form of bank and broker fees exist. Particularly minimum fees force the investor to choose a rather small selection of assets. This leads to an optimization problem which juxtaposes the transaction costs against the risk costs arising with portfolios consisting of only a few assets. Despite the non-convex and thus complex optimization, an algorithmic solution turns out to be very fast and precise. An empirical study shows that for smaller investment volumes, transaction costs dominate risk costs, so that optimal portfolios contain only a very small number of assets.