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Risk Efficiency and Diversification
Generating the Statistical Inputs for Portfolio Analysis
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Appendix assets assume assumptions beta coefficient calculated capital market theory Chapter chartists covariance Cramer's rule critical line defined derived deviation of returns discussion distribution of returns dividends E(rM E(rt E(rv efficient frontier efficient portfolios efficient set equal equilibrium estimates expected return expected utility expected value Fama folio forecast formulas fundamental analysts graphed graphical investment investors isovariance ellipses Journal of Business Journal of Finance Markowitz diversification Markowitz efficient mathematical matrix maximize measure minimum variance mutual funds naive diversification negative opportunity set percent period port portfolio analysis portfolio manager portfolio risk Portfolio Selection price changes probability distribution quadratic programming random variable random-walk rate of return represents revision risk class security analyst security's shown in Fig simplified model solution solved standard deviation statistics Stock Market stock price systematic risk techniques THEOREM tion Treynor utility function variability of return wealth weights yields zero