Journal ArticleDOI
A Simplified Model for Portfolio Analysis
TLDR
Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.Abstract:
This paper describes the advantages of using a particular model of the relationships among securities for practical applications of the Markowitz portfolio analysis technique. A computer program has been developed to take full advantage of the model: 2,000 securities can be analyzed at an extremely low cost—as little as 2% of that associated with standard quadratic programming codes. Moreover, preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities. The possibility of low-cost analysis, coupled with a likelihood that a relatively small amount of information need be sacrificed make the model an attractive candidate for initial practical applications of the Markowitz technique.read more
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Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
The Adjustment of Stock Prices to New Information
TL;DR: In this paper, the authors examine the process by which common stock prices adjust to the information (if any) that is implicit in a stock split and show that the independence of successive price changes is consistent with a market that adjusts rapidly to new information.
Journal ArticleDOI
The performance of mutual funds in the period 1945–1964
TL;DR: Jensen's Alpha as discussed by the authors is a risk-adjusted measure of portfolio performance that estimates how much a manager's forecasting ability contributes to the fund's returns, based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated).
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The Capital Asset Pricing Model: Some Empirical Tests
TL;DR: In this paper, the authors present some additional tests of the mean-variance formulation of the asset pricing model, which avoid some of the problems of earlier studies and provide additional insights into the nature of the structure of security returns.
Journal ArticleDOI
A test of the efficiency of a given portfolio
TL;DR: In this article, a test for the ex ante efficiency of a given portfolio of assets is analyzed, and the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex post mean-variance efficient frontier is analyzed.
References
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Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments
Alan Stuart,Harry M. Markowitz +1 more
TL;DR: In this article, the authors defined asset classes technology sector stocks will diminish as the construction of the portfolio, and the construction diversification among the, same level of assets, which is right for instance among the assets.
Journal ArticleDOI
The simplex method for quadratic programming
TL;DR: In this article, a computational procedure for finding the minimum of a quadratic function of variables subject to linear inequality constraints is given, analogous to the Simplex Method for linear programming, being based on the Barankin-Dorfman procedure.