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INTRODUCTION AND LITERATURE SURVEY
THE NPERIOD PORTFOLIO PROBLEM
THE MEASUREMENT OF THE PERFORMANCE OF MUTUAL
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approximation assumption Bp RM cash flows central moments cg Ç cg cg cg characteristic line combination portfolio constant convex cost function cost per dollar criterion disutility end of period Equation evaluation expected portfolio return expected return expected value expressed Figure folio formulation function of wealth holding period investment organization investor investor's utility function kth central linear programming linear segment market index market portfolio market return market volatility maximizes expected utility modern portfolio theory mutual fund performance optimal parameters performance measure port portfolio manager portfolio revision process portfolio selection portfolio that maximizes portfolios held procedure proportion of wealth quadratic programming random variable return realized risk averse risk measure riskless asset Sharpe single index model single period specified standard deviation systematic component systematic risk theoretically tion transactions costs Treynor Index unsystematic returns Unsystematic Reward-to-Risk Ratio variable variance