## Portfolio analysis |

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### Contents

X | 16 |

FiniteProbability Foundations | 18 |

Generating the Statistical Inputs | 49 |

Copyright | |

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### Common terms and phrases

algorithm assumptions average beta beta coefficient calculated capital market theory Chapter coefﬁcient common stocks constraints correlation covariance deﬁned deﬁnition denoted derived econometric economic efficient frontier efficient portfolios empirical equation 4.4 equilibrium estimates example expected return expected utility expected value Figure ﬁnancial Financial and Quantitative ﬁnd ﬁrm ﬁrst graphed graphically inﬂation investment investors journal of Financial Lagrangian leverage linear market portfolio mathematical matrix maximize measure mutual funds negative one-period opportunity set percent period portfolio analysis portfolio management Portfolio Selection portfolio theory positive probability distribution problem quadratic programming Quantitative Analysis rate of return regression represents risk aversion risk class risk-return riskless rate security analyst security market line semivariance Sharpe’s shown in equation shown in Fig signiﬁcant simpliﬁed model single-index single-period skewness slope solution solved standard deviation statistics stochastic dominance systematic risk tion utility function variability of return variance variance-covariance matrix wealth weights yields zero