Portfolio selection
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Portfolio selection a procedure for revising ex-ante estimates of portfolio risk by George Frankfurter

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Published by Management Research Center, School of Management, Syracuse University in Syracuse, N.Y .
Written in English

Subjects:

  • Investment analysis

Book details:

Edition Notes

Bibliography: leaves [2]-[3] (2d group)

Statementby George M. Frankfurter and Herbert E. Phillips
SeriesFaculty research working paper series
ContributionsPhillips, Herbert E
The Physical Object
Pagination9, [3] leaves :
ID Numbers
Open LibraryOL14536801M

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The first sections of this chapter consider portfolio selection when the following three conditions are satisfied: (1) the investor owns only liquid assets; (2) he maximizes the expected value of U (C 1, C 2, , C T), where C t, is the money value of consumption during the t th period (C t could, alternatively, represent money. Although an old work, it established the basis of modern portfolio selection theory. Foundations are mandatory for those who want to get a grasp on the matter and helps better undestand modern theory. First half of the book is a ride, second half is a harder by: Portfolio Selection: Efficient Diversification of Investments by Harry M. Markowitz avg rating — 30 ratings — published — 5 editions. "This is an excellent book showing a comprehensive menu of state-of-the-art online machine-learning algorithms in online portfolio selection and trading. It explains clearly how different algorithms can perform based on data-driven patterns that are exploited using intensive computational methods. It is a must-read for serious quantitative Cited by:

With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms - Selection from Online Portfolio Selection [Book]. Portfolio selection is the unifying process in Modern Portfolio Theory, but the best way to select portfolios is a matter of intense debate. Most of MPT evolved from Markowitz, who hypothesized that the best way to select securities in each portfolio was to construct a set of efficient portfolios by using a technique known as quadratic programming (see Figure ). Project portfolio selection: Multi-criteria analysis and interactions between projects Khadija BENAIJA1, Laila KJIRI2 1 ENSIAS, Université Mohammed-V, Rue Mohammed Ben Abdellah Regragui, B.P. Agdal, Madinat Al Irfane, Rabat, by: 4. This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed/5.

Markowitz portfolio selection. Modern portfolio theory (MPT) is a method for constructing a portfolio of securities. It was introduced by Harry Markowitz in the early s. Markowitz’s portfolio selection approach allows investors to construct a portfolio that gives investors the . What is Portfolio Selection? Definition of Portfolio Selection: Collection of risky assets combined with different weights to provide an acceptable trade-off between return and risk to an investor. IGI Global is offering a 50% discount on all e-book and e-journals. This opportunity is ideal for librarian customers convert previously. Modern portfolio theory (MPT) is a theory on how risk-averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk. "This is an excellent book showing a comprehensive menu of state-of-the-art online machine-learning algorithms in online portfolio selection and trading. It explains clearly how different algorithms can perform based on data-driven patterns that are exploited using intensive computational methods. It is a must-read for serious quantitative.