Forty years of normative portfolio theory: issues, controversies, and misconceptions
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Greenwich, Conn. u.a.
Jai Press
1995
|
| Schriftenreihe: | Contemporary studies in economic and financial analysis
76 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 146 S. graph. Darst. |
| ISBN: | 1559383135 |
Internformat
MARC
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| 650 | 7 | |a Portfolio-theorie |2 gtt | |
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Datensatz im Suchindex
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|---|---|
| adam_text | CONTENTS
List of Tables and Figures ix
I. Introduction 1
A History in Brief 1
II. Investor Utility 5
The Von Neumann and Morgenstern Axioms 7
Risk Aversion 8
The Stochastic Dominance Efficiency Criteria 11
Non satiation 12
Diminishing Marginal Utility and Risk Aversion 12
Relative Risk Aversion 13
The Mean Variance Versus the Stochastic
Dominance Efficiency Criteria 13
Conclusions 18
HI. Portfolio Selection Under Conditions of Risk 19
Bayesian Framework 19
Full Covariance Portfolio Selection Model 20
Quadratic Programming Solutions When
Short Sales are Not Allowed 24
A Simplified Model for Portfolio Analysis 25
Lending and Borrowing Portfolios 27
A Theory of Market Equilibrium Under
Conditions of Risk 28
The Equilibrium Assumptions 29
The Capital Market and Security Market Lines 30
Appendix: Statistical Background 33
IV. Personal Probability, Risk, and Deterministic Methodologies 63
Personal Versus Objective Probabilities 63
Sources and Interprtation of Prior Information 65
Known Probabilities and Deterministic Solutions 66
vii
viii CONTENTS
Portfolio Selection: Risk Versus Uncertainty 67
Appendix: Bayesian Prior and Posterior Analysis 68
V. Portfolio Selection: The Case of Sample Based Inputs 71
Conditions of Risk Versus Generalized Uncertainty 71
Sample Based Estimation of Unknown Parameters 73
Portfolio Selection: The Effects of Uncertain
Means, Variances, and Covariances 74
The Full Covariance Model 74
A Monte Carlo Approach 75
Portfolio Optimization Algorithms, Simplified
Criteria, and Security Selection:
A Contrast and Evaluation 78
Alternative Stock Substitution Criteria 78
The Issue and an Empirical Test 79
VI. Bias in Estimating Portfolio Means and Variances 83
Optimization Model Selection Bias 84
Stock Selection Bias: Case of Exclusionary Selection
and Equal Weighting 85
Stock Selection Bias: Case of Non Exclusionary
Selection and Market Value Weighting 86
Bias in Estimating Portfolio Alpha and Beta Scores 87
Estimation and Selection Bias in Mean Variance
Portfolio Selection 91
Cross Sectional Residual Covariation and the
Single Index Model 94
SIM s Portfolio Variance Model Misspecification Bias 96
The Determinance and Indeterminance of SIM s
Risk Estimator: A Minor Paradox 98
VII. Normative Application of Positive Theory 99
On the Assumptions of Theory 99
Rational Expectations, Homogeneous Bayesian
Priors, and Equilibrium Restricted Regression 101
Probability Calculations in a Bayesian Framework 102
On Equilibrium Restricted Regression 103
The CAPM: A House of Cards 106
Anomalies 106
Zero 108
Roll s Critique 109
Normative Application of the CAPM 110
The Arbitrage Pricing Model 111
CONTENTS ix
VIII. MPT Plus Security Analysis for Better Performance 115
The Standard Parametric Model 117
Portfolio Analysis: An Integrative Approach 118
Stage 1: Estimation and Security Grouping 118
Stage 2: An Integrative Strategy for Security Selection
Based on Homogeneous Security Groupings 120
Discussion 122
IX. Concluding Remarks on Sources of Misinformation 125
References 131
Index 141
|
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| indexdate | 2024-07-09T17:49:42Z |
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| isbn | 1559383135 |
| language | English |
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| spelling | Frankfurter, George M. 1933- Verfasser (DE-588)138538263 aut Forty years of normative portfolio theory issues, controversies, and misconceptions by George M. Frankfurter and Herbert E. Phillips Greenwich, Conn. u.a. Jai Press 1995 XVI, 146 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contemporary studies in economic and financial analysis 76 Geschichte 1955-1995 gnd rswk-swf Portfolio-theorie gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Portfolio Selection (DE-588)4046834-3 s Geschichte 1955-1995 z DE-604 Phillips, Herbert E. Verfasser aut Contemporary studies in economic and financial analysis 76 (DE-604)BV000001516 76 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006836702&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Frankfurter, George M. 1933- Phillips, Herbert E. Forty years of normative portfolio theory issues, controversies, and misconceptions Contemporary studies in economic and financial analysis Portfolio-theorie gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4143413-4 |
| title | Forty years of normative portfolio theory issues, controversies, and misconceptions |
| title_auth | Forty years of normative portfolio theory issues, controversies, and misconceptions |
| title_exact_search | Forty years of normative portfolio theory issues, controversies, and misconceptions |
| title_full | Forty years of normative portfolio theory issues, controversies, and misconceptions by George M. Frankfurter and Herbert E. Phillips |
| title_fullStr | Forty years of normative portfolio theory issues, controversies, and misconceptions by George M. Frankfurter and Herbert E. Phillips |
| title_full_unstemmed | Forty years of normative portfolio theory issues, controversies, and misconceptions by George M. Frankfurter and Herbert E. Phillips |
| title_short | Forty years of normative portfolio theory |
| title_sort | forty years of normative portfolio theory issues controversies and misconceptions |
| title_sub | issues, controversies, and misconceptions |
| topic | Portfolio-theorie gtt Portfolio management Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Portfolio-theorie Portfolio management Portfolio Selection Aufsatzsammlung |
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