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Theoretical Analysis of Modern Portfolio Theory
BCP Business & Management, 2023 The Modern portfolio theory has contributed to establishing the fundamental principles of portfolio management, and it is widely used in the finance industry to build diversified investment portfolios. The purpose of the proposed research is to evaluate the effectiveness of modern portfolio theory in the real estate industry by examining empirical ...
Zhijian Wen
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Agrometeorology, 2021 Agro-pastoralists in the tropical semi-arid dryland areas of sub-Saharan Africa are significantly affected by climate change and variability. The agro-pastoral families are coping with production-related climatic risks through livelihood diversification ...
Ponsian T. Sewando
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Limitations and Critique of Modern Portfolio Theory: A Comprehensive Literature Review [PDF]
Advances in Economics, Management and Political SciencesThis paper employs a systematic literature review approach to select and summarize 12 papers published within the past five years. It critically assesses the limitations of Modern Portfolio Theory (MPT), including its reliance on the assumptions of a ...
Hanwen Zhang
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Modern Portfolio Theory: Some Main Results [PDF]
ASTIN Bulletin, 1988 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.
Heinz H. Müller
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The Endowment Model and Modern Portfolio Theory
Management Sciences, 2019 We develop a dynamic portfolio choice model with illiquid alternative assets to analyze the “endowment model,” widely adopted by institutional investors, such as pension funds, university endowments, and sovereign wealth funds.
Stephen G. Dimmock +2 more
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Modern Portfolio Theory and Its Applications
Finance & EconomicsAccording to the modern portfolio theory, the monthly return data of 4 groups of portfolios (40 stocks) from November 5, 2011, to November 5, 2023, are empirically found: (1) the average monthly yield curve of stock portfolios group#1 and group#4 fluctuates significantly, while the volatility of equity portfolios group#2 and group#3 is relatively ...
Jiaye Liu
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Post-modern portfolio theory supports diversification in an investment portfolio to measure investment's performance [PDF]
, 2012 This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates that investment
Devinaga Rasiah
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Historical development of portfolio theory [PDF]
Tehnika, 2021 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.
Leković Miljan M.
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Analyzing the Performance of Iran Mutual Funds [PDF]
پژوهشهای تجربی حسابداری, 2013 This paper is based on the performance of mutual fund in the Tehran’s stock exchange criteria based on modern portfolio theory consists of (Sharp ratio, Modigliani,Standard Deviation, Systematic Risk, Treynor, Jenesen alpha) and Post Modern portfolio ...
Gholamreza Soleimany Amiri, Ameneh Abed
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NUML International Journal of Business & Management, 2022 Diversification is considered a way to lower investment risk by using a variety of investment avenues. The objective of this study is to compare the portfolio performance based on mean-variance optimisation with a naively diversified portfolio for ...
Faisal Maqbool, Muhammad Husnain
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