Modern Portfolio Theory: Some Main Results
This 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...
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| Veröffentlicht in: | ASTIN Bulletin : The Journal of the IAA 1989-11, Vol.19 (S1), p.9-27 |
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| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | This 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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| ISSN: | 0515-0361 1783-1350 |
| DOI: | 10.1017/S051503610000859X |