Home
Resource
Markowitz's portfolio selection model and related problems
PDF
PDF format is widely accepted and good for printing.
Plug-in required
PDF-1(522.36 kb)
Citation & Export
View Usage Statistics
Staff View

Citation & Export
Hide

Simple citation

Ravipati, Abhijit. Markowitz's portfolio selection model and related problems. Retrieved from https://doi.org/doi:10.7282/T33J3C07

Export

Click here for information about Citation Management Tools at Rutgers.

Statistics
Hide

Description

TitleMarkowitz's portfolio selection model and related problems
NameRavipati, Abhijit (author); Prekopa, Andras (chair); Rutgers University; Graduate School - New Brunswick
Date Created2012
Other Date2012-01 (degree)
SubjectOperations Research, Economics, Risk-return relationships, Markowitz, H. (Harry), 1927-
Extentiv, 44 p. : ill.
DescriptionMarkowitz's portfolio selection theory is one of the pillars of theoretical finance. This formulation has an inherent instability once the mean and variance are replaced by their sample counterparts. The problem is amplified when the number of assets is large and the sample covariance is singular or nearly singular. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk. The paper starts with a general introduction to Markowitz’s portfolio theory and then discusses further developments and a few notable works in the area and later moves on to discuss the need for regularization and points out a few existing methods for regularization. After which a formulation of the optimal portfolio selection is presented and ends with a few numerical examples.
NoteM.S.
NoteIncludes bibliographical references
Noteby Abhijit Ravipati
Genretheses, ETD graduate
Persistent URLhttps://doi.org/doi:10.7282/T33J3C07
Languageeng
CollectionGraduate School - New Brunswick Electronic Theses and Dissertations
Organization NameRutgers, The State University of New Jersey
RightsThe author owns the copyright to this work.
Version 8.5.5
Rutgers University Libraries - Copyright ©2024