Showing papers on "Efficient frontier published in 1979"
TL;DR: A heuristic algorithm is developed which results in a discrete efficient frontier set, including only 'efficient layouts’, which is presented as a combined quantitative and qualitative approach to the plant layout problem.
Abstract: This paper presents a combined quantitative and qualitative (subjective) approach to the plant layout problem. The two objectives, which may be conflicting, are minimizing the material handling cost and maximizing a closeness rating measure. A heuristic algorithm is developed which results in a discrete efficient frontier set, including only 'efficient layouts’. By specifying the different weights, or range of weights, for these goals, the 'best’ solution (layout) is generated.
144 citations
TL;DR: In this article, Anderson, Dillon, and Hardaker provide a discussion of the different types of frontiers and different methods of deriving them, and the development of efficient frontiers is particularly helpful when the risk among enterprises varies substantially (Schurle and Erven).
Abstract: An efficient frontier provides information concerning the tradeoff between risk and return in farm enterprise choice decisions. If mean-variance analysis is used, the frontier is efficient in the sense that it represents a series of farm enterprise combinations, each enterprise combination having minimum risk (variance of returns) for a specified level of return. Anderson, Dillon, and Hardaker provide a discussion of the different types of frontiers and the different methods of deriving them. Development of efficient frontiers is particularly helpful when the risk among enterprises varies substantially (Schurle and Erven). However, efficient frontiers do not provide information about nearoptimal enterprise combinations. According to Heady and Candler the optimum solutions in linear programming need not be optimum for other criteria. Since farmer's utility functions cannot be completely specified in terms of risk and returns, decision makers and researchers should be interested in
24 citations
TL;DR: In this paper, the authors extended the work of Solnik in that it investigates the difference between the real and nominal efficient sets by showing that every nominal efficient portfolio can be transformed into a real efficient portfolio by the additional purchase of a hedge portfolio.
Abstract: incorporate the influence of inflation in constructing mean-variance efficient portfolios. He used two different sets of data in deriving the portfolio composition. One was the history of nominal returns of securities; the other was the history of real returns. The efficient portfolios derived from the real data differed in composition from their nominal counterparts and were found to dominate them. Solnik [7] has explored the impact of inflation on the composition of the efficient set. He shows that the real efficient set can be expressed as a combination of the real minimum variance portfolio and a second portfolio common to all investors. Although the second portfolio has no net investment (sum of portfolio investment proportions is zero), the amount of it that is held will vary depending on individual tastes. This paper extends the work of Solnik in that it investigates the difference between the real and nominal efficient sets by showing that every nominal efficient portfolio can be transformed into a real efficient portfolio by the additional purchase of a hedge portfolio. The hedge portfolio requires no net investment, has zero expected return, and its composition does not depend on the composition of the nominal efficient portfolio. The derivations and analysis of this hedge portfolio reveals several interesting facts: (1) If there exists one portfolio that is nominal efficient but not real efficient, then no portfolio can be efficient both in real and nominal terms. Similarly, if there exists one portfolio that is efficient both in nominal and real terms, then all efficient portfolios are both nominal efficient and real efficient; the nominal efficient set and the real efficient set are either identical or disjoint. (2) If the real and nominal efficient sets are identical and the market portfolio is efficient, the risk and expected return of any asset is determined by its covariance with the inflation rate. (3) If the real and nominal efficient sets are disjoint, the real variance of any nominal efficient portfolio can be reduced, with no additional net investment, by acquiring the hedge portfolio. The acquisition of the hedge portfolio will reduce the real variance by an amount equal to the covariance between the hedge portfolio and the inflation rate.
19 citations
TL;DR: In this article, the authors present a survey of modern portfolio theory which has evolved since the pioneering work of Markowitz in 1952, focusing on the "traditional approach" to investment management and portfolio selection.
Abstract: This issue of Managerial Finance is devoted to modern portfolio theory which has evolved since the pioneering work of Markowitz in 1952. Before the development of modern portfolio theory investors and their advisers used the “traditional approach” to investment management and portfolio selection.
12 citations
12 citations
TL;DR: In this paper, the authors present a general criticism of the blind application of specific holding periods, showing how the arbitrary choice of a holding period can reduce or invalidate the tenets of modern portfolio theory.
Abstract: * This paper is as much a warning for readers of holding period-oriented articles in general as it is a commentary on the work of Jess B. Yawitz, George H. Hempel, and William J. Marshall [11]. What follows is a general criticism of the blind application of specific holding periods, showing how the arbitrary choice of a holding period can reduce or invalidate the tenets of modern portfolio theory. Several important recent papers apply MarkowitzSharpe models to bond portfolio selection only to develop limited or negative findings. The general results of such studies [6, 7, 11, 12] assign not more than a limited value to maturity diversification, contrary to the implications of formal portfolio theory. Among these, the work of Yawitz, Hempel, and Marshall [11] provides a useful but limited practical application of portfolio theory to the selection of government bonds. Although we elaborate primarily on this paper, we will also briefly discuss other relevant research that warrants similar warnings. The Yawitz et al. treatment of benefits from maturity diversification unnecessarily restricts the scope of their model. Our discussion complements their work, adding two additional conclusions on practical management of government bond portfolios. First, we reconcile their admittedly "arbitrary" choice of holding period lengths with recent research on how the holding period chosen may affect the efficient portfolio selected [3]; second, we show that opportunities to pool risk in the government bond market via diversification by maturities may be less limited than Yawitz, Hempel, and Marshall suggest. Additionally, Gressis, Philippatos, and Hayya [3] demonstrate that the mean-variance efficient frontier
5 citations