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International Review of Financial Analysis, 2017
Abstract In this paper, we correct the adverse impact of estimation risk on both portfolio weights and performance with two new equity allocation methods we implement with estimation-free and estimated ex-ante returns. Portfolios with estimation-free ex-ante returns and systematic-to-unsystematic risk weights have statistically higher Sharpe ratios ...
Yufen Fu, George W. Blazenko
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Abstract In this paper, we correct the adverse impact of estimation risk on both portfolio weights and performance with two new equity allocation methods we implement with estimation-free and estimated ex-ante returns. Portfolios with estimation-free ex-ante returns and systematic-to-unsystematic risk weights have statistically higher Sharpe ratios ...
Yufen Fu, George W. Blazenko
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Investors’ Portfolio Choice and Portfolio Theory
2017This chapter introduces modern portfolio theory by first following the work of Markowitz and discussing how an optimizing investor would behave. Second, the chapter reviews the portfolio theory that is concerned with economic equilibrium assuming all investors optimize in the particular manner, the work by Sharpe and Lintner on capital asset pricing ...
Ted Lindblom +2 more
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Is Portfolio Theory Harming Your Portfolio?
SSRN Electronic Journal, 2011Modern Portfolio Theory (MPT) teaches us that active equity managers who use judgment to make investment decisions won’t be able to match the returns (after fees and expenses) of blindly-invested, passively-managed index funds. Data on returns supports the theory, so it’s no surprise that investors are leaving actively managed funds in droves for the ...
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2016
We introduce Harry Markowitz’s mathematical model for how to distribute an initial capital across a collection of risky securities to create an efficient portfolio, namely, one with the least risk given an expected return and largest expected return given a level of portfolio risk. This chapter covers: the set up of the Markowitz portfolio model, which
Arlie O. Petters, Xiaoying Dong
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We introduce Harry Markowitz’s mathematical model for how to distribute an initial capital across a collection of risky securities to create an efficient portfolio, namely, one with the least risk given an expected return and largest expected return given a level of portfolio risk. This chapter covers: the set up of the Markowitz portfolio model, which
Arlie O. Petters, Xiaoying Dong
openaire +1 more source