142:
25:
161:
and cash. Portfolios may be held by individual investors or managed by financial professionals, hedge funds, banks and other financial institutions. It is a generally accepted principle that a portfolio is designed according to the investor's risk tolerance, time frame and investment objectives. The
173:
solutions are available and the preferred solution must be selected by considering a tradeoff between risk and return. In particular, a portfolio A is dominated by another portfolio A' if A' has a greater expected gain and a lesser risk than A. If no portfolio dominates A, A is a
198:
and the zero-investment portfolio. A portfolio's asset allocation may be managed utilizing any of the following investment approaches and principles: dividend weighting, equal weighting, capitalization-weighting, price-weighting,
357:
Momentum
Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. Mark Grinblatt, Sheridan Titman, Russ Wermers The American Economic Review, Vol. 85, No. 5 (Dec., 1995), pp.
234:
There are several methods for calculating portfolio returns and performance. One traditional method is using quarterly or monthly money-weighted returns; however, the
186:. Recently, an alternative approach to portfolio diversification has been suggested in the literatures that combines risk and return in the optimization problem.
337:
89:
61:
165:
When determining asset allocation, the aim is to maximise the expected return and minimise the risk. This is an example of a
285:
141:
42:
68:
507:
488:
469:
450:
431:
409:
390:
235:
108:
75:
46:
238:
is a method preferred by many investors in financial markets. There are also several models for measuring the
57:
166:
544:
260:
204:
402:
Active
Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
255:
529:
539:
208:
440:
239:
228:
183:
35:
315:
82:
275:
280:
170:
8:
534:
243:
304:
Markowitz, H.M. (March 1952). "Portfolio
Selection". The Journal of Finance 7 (1): 77-91
179:
497:
503:
484:
465:
446:
427:
405:
386:
320:
175:
329:
195:
162:
monetary value of each asset may influence the risk/reward ratio of the portfolio.
333:
242:
of a portfolio's returns when compared to an index or benchmark, partly viewed as
130:
441:
Maginn, John L.; Tuttle, Donald L.; Pinto, Jerald E.; McLeavey,Dennis W. (2007).
419:
270:
265:
158:
523:
418:
224:
216:
212:
220:
481:
Quantitative
Portfolio Optimisation, Asset Allocation and Risk Management
200:
462:
Advanced
Portfolio Management: A Quant's Guide for Fundamental Investors
498:
Schulmerich, Marcus; Leporcher, Yves-Michel; Eu, Ching-Hwa (2015).
24:
178:. The set of Pareto-optimal returns and risks is called the Pareto
424:
Strategic Risk
Management: Designing Portfolios and Managing Risk
122:
367:
Investment
Performance Measurement Errors, accessed 2008-06-29.
154:
150:
399:
149:
The term "portfolio" refers to any combination of financial
380:
145:
Risk/return plot and Pareto-optimal portfolios (in red)
459:
286:
Financial risk management § Investment management
49:. Unsourced material may be challenged and removed.
443:Managing Investment Portfolios: A Dynamic Process
313:
194:There are many types of portfolios including the
521:
316:"Portfolio selection: An alternative approach"
16:Financial term for a collection of investments
478:
422:; Rattray, Sandy; Van Hemert,Otto (2021).
256:Outline of finance § Portfolio theory
109:Learn how and when to remove this message
140:
400:Grinold, Richard; Kahn, Ronald (1999).
522:
381:Baker, H. Kent; Filbeck, Greg (2015).
184:Markowitz portfolio selection problem
314:Hatemi-J, A.; El-Khatib, Y. (2015).
167:multi-objective optimization problem
47:adding citations to reliable sources
18:
361:
13:
351:
298:
14:
556:
500:Applied Asset and Risk Management
221:Sharpe diagonal (or index) model
23:
460:Paleologo, Giuseppe A. (2021).
374:
340:from the original on 2016-08-26
34:needs additional citations for
307:
189:
1:
404:(2nd ed.). McGraw Hill.
334:10.1016/j.econlet.2015.08.021
291:
136:
7:
261:Capital asset pricing model
249:
205:capital asset pricing model
10:
561:
445:(3rd ed.). Springer.
383:Investment Risk Management
236:true time-weighted method
209:arbitrage pricing theory
176:Pareto-optimal portfolio
58:"Portfolio" finance
464:(1st ed.). Wiley.
240:performance attribution
229:modern portfolio theory
483:. Palgrave Macmillan.
479:Rasmussen, M. (2003).
146:
276:Investment management
144:
281:Portfolio investment
43:improve this article
385:. Oxford Academic.
244:investment strategy
129:is a collection of
545:Portfolio theories
180:efficient frontier
147:
530:Financial markets
426:. Wiley Finance.
321:Economics Letters
119:
118:
111:
93:
552:
540:Personal finance
513:
494:
475:
456:
437:
420:Harvey, Campbell
415:
396:
368:
365:
359:
355:
349:
348:
346:
345:
311:
305:
302:
196:market portfolio
114:
107:
103:
100:
94:
92:
51:
27:
19:
560:
559:
555:
554:
553:
551:
550:
549:
520:
519:
517:
510:
491:
472:
453:
434:
412:
393:
377:
372:
371:
366:
362:
356:
352:
343:
341:
312:
308:
303:
299:
294:
271:Infection ratio
266:Hedge (finance)
252:
192:
139:
115:
104:
98:
95:
52:
50:
40:
28:
17:
12:
11:
5:
558:
548:
547:
542:
537:
532:
515:
514:
509:978-3642554438
508:
495:
490:978-1403904584
489:
476:
471:978-1119789796
470:
457:
452:978-0470080146
451:
438:
433:978-1119773917
432:
416:
411:978-0070248823
410:
397:
392:978-0199331963
391:
376:
373:
370:
369:
360:
350:
328:(C): 424–427.
306:
296:
295:
293:
290:
289:
288:
283:
278:
273:
268:
263:
258:
251:
248:
191:
188:
138:
135:
117:
116:
31:
29:
22:
15:
9:
6:
4:
3:
2:
557:
546:
543:
541:
538:
536:
533:
531:
528:
527:
525:
518:
511:
505:
501:
496:
492:
486:
482:
477:
473:
467:
463:
458:
454:
448:
444:
439:
435:
429:
425:
421:
417:
413:
407:
403:
398:
394:
388:
384:
379:
378:
364:
354:
339:
335:
331:
327:
323:
322:
317:
310:
301:
297:
287:
284:
282:
279:
277:
274:
272:
269:
267:
264:
262:
259:
257:
254:
253:
247:
245:
241:
237:
232:
230:
226:
225:value at risk
222:
218:
217:Treynor ratio
214:
210:
206:
202:
197:
187:
185:
181:
177:
172:
168:
163:
160:
156:
152:
143:
134:
132:
128:
124:
113:
110:
102:
91:
88:
84:
81:
77:
74:
70:
67:
63:
60: –
59:
55:
54:Find sources:
48:
44:
38:
37:
32:This article
30:
26:
21:
20:
516:
502:. Springer.
499:
480:
461:
442:
423:
401:
382:
375:Bibliography
363:
353:
342:. Retrieved
325:
319:
309:
300:
233:
231:and others.
193:
164:
148:
126:
120:
105:
96:
86:
79:
72:
65:
53:
41:Please help
36:verification
33:
215:Index, the
201:risk parity
190:Description
131:investments
535:Investment
524:Categories
344:2016-08-14
292:References
137:Definition
99:March 2011
69:newspapers
358:1088-1105
171:efficient
127:portfolio
338:Archived
250:See also
182:for the
153:such as
227:model,
169:: many
123:finance
83:scholar
506:
487:
468:
449:
430:
408:
389:
223:, the
219:, the
213:Jensen
211:, the
203:, the
155:stocks
151:assets
85:
78:
71:
64:
56:
159:bonds
90:JSTOR
76:books
504:ISBN
485:ISBN
466:ISBN
447:ISBN
428:ISBN
406:ISBN
387:ISBN
125:, a
62:news
330:doi
326:135
121:In
45:by
526::
336:.
324:.
318:.
246:.
207:,
157:,
133:.
512:.
493:.
474:.
455:.
436:.
414:.
395:.
347:.
332::
112:)
106:(
101:)
97:(
87:·
80:·
73:·
66:·
39:.
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.
