Portfolio Theory considers the trade-off between some measure of risk and some measure of return on the portfolio-as-a-whole. The measures used most frequently in practice are expected (or mean) return and variance or, equivalently, standard deviation. This article discusses the justification for the use of mean and variance, sources of data needed in a mean-variance analysis, how mean-variance tradeoff curves are computed, and semi-variance as an alternative to variance.

错误:搜索内容不能为空,请输入英文关键词
错误:关键词超出字数限制,请精简
高级检索

Portfolio Theory

  • Harry M. Markowitz

摘要

Portfolio Theory considers the trade-off between some measure of risk and some measure of return on the portfolio-as-a-whole. The measures used most frequently in practice are expected (or mean) return and variance or, equivalently, standard deviation. This article discusses the justification for the use of mean and variance, sources of data needed in a mean-variance analysis, how mean-variance tradeoff curves are computed, and semi-variance as an alternative to variance.