Showing papers on "Efficient frontier published in 1971"
TL;DR: In this article, the authors have shown that the models developed to select common stock port-folios can be adapted to the selection of real estate portfolios and mixed asset portfolios and as long as return and risk can be quantified, the problems are soluble.
Abstract: This paper has shown that the models developed to select common stock port-folios can be adapted to the selection of real estate portfolios and mixed asset portfolios. The concepts are all identical, and as long as return and risk can be quantified, the problems are soluble.The portfolios identified using a small sample indicate that real estate portfolios can have more return and less risk than do common stock portfolios. When the two assets are combined, the real estate assets dominate the resultant portfolios. On an after-tax basis these results are more apparent. The local aspect of real estate versus the national aspect of common stocks is primarily responsible for these results.
76 citations
TL;DR: In this paper, the authors developed a feasible method of accurately generating the massive information requirements of the Markowitz model, which has not been developed yet, and demonstrated that the maximum gains from diversification will asymptotically reduce the contribution each security makes to the portfolio's standard deviation to the systematic risk of that individual security.
Abstract: rates of return, variances of rates of return, and covariances of rates of return among individual securities. Unfortunately, a feasible method of accurately generating the massive information requirements of the Markowitz model has not been developed. Historical measures of mean rates of return and covariances of rates of return among individual securities have been shown to be unstable over time and to be ineffectual in generating ex ante efficient portfolios.1 Sharpe (10] has dichotomized a security's total risk into its systematic and residual components. A security's systematic risk denotes the portion of its standard deviation explained by the market, and its residual risk denotes the portion of its standard ieviation unexplained by the market. The maximum gains from diversification will asymptotically reduce the contribution each security makes to the portfolio's standard deviation to the systematic risk of that individual security. That is, as the investor increases the number of securities in his portfolio of common stocks, the residual component of the portfolio's standard deviation asymptotically approaches its lower limit of zero*
22 citations
TL;DR: In this paper, the authors show that a portfolio frontier superior to the Markowitz one-period buy-and hold efficient frontier can be generated by pursuing a rebalancing policy, even under the conditions of random walk.
Abstract: A portfolio frontier superior to the Markowitz one-period buy-and hold efficient frontier does exist. Such a superior frontier can be generated by pursuing a rebalancing policy, even under the conditions of random walk. By rebalancing we mean that an investor maintains a fixed but optimal set of weights among the securities in a portfolio throughout an investment period by buying and selling securities at the end of some predetermined intervals.
8 citations
5 citations