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- Harry Markowitz: Getting Ready for Recovery
- Harry Markowitz, the father of modern portfolio theory, still thinks you can't time the market though he admits to trying a bit himself recently. His best advice: stay invested and diversified. "You have to be in the market and prepared when the recovery begins," he explains... That's not surprising,...
- Articles 2009-03-09
- Great Minds on the Market
- Even market high priests have been humbled by the massacre of the Dow. For wisdom that goes beyond the same old advice, listen to these four. The worst financial markets in a generation have thrown into question virtually every long-held tenet of investing. Conclusions backed by 70 years of history...
- Articles 2009-03-09
Additional Resources
- Modern Portfolio Theory - Introduction
- From the executive summary: ‘Modern portfolio theory is the philosophical opposite of traditional stock picking. It is the creation of economists, who try to understand the market as a whole, rather than business analysts, who look for what makes each investment opportunity unique. Investments are described statistically, in terms of...
- White papers 2003-01-01
- Mean-Variance Optimization: Modern Portfolio Theory
- This article introduces the concepts of Mean-Variance Optimization MVO and Modern Portfolio Theory MPT in both single and multi-period contexts. It is also intended to help one decide which of the two MVO products, VisualMvo or MvoPlus, should one consider for investments. The fundamental goal of portfolio theory is to...
- White papers 2003-01-01
- Modern Portfolio Theory
- One of the major concepts that most investors should be aware of is the relationship between the risk and the return of a financial asset. It is common knowledge that there is a positive relationship between the risk and the expected return of a financial asset. In other words, when...
- White papers 2003-01-01
- Modern Portfolio Theory
- This article tells us about Modern Portfolio Theory MPT. Over the following five decades, Markowitz and his followers have contributed enormously to our understanding of the behavior of capital markets and of the nature of risk and its relationship to investment returns. MPT has, in a broad way, allowed us...
- White papers 2002-01-01
- Duo touts 'essential portfolio theory'; They claim that it updates classic Markowitz ideas.(News)
- Byline: Charles Paikert NEW YORK - Investors and advisers need to move beyond modern portfolio theory and embrace more diversification and alternate asset classes, according to Princeton University professor of operations research and financial engineering John Mulvey. ...
- Research articles 2006-01-16
- WEIGHTY DECISIONS: Ruling holds portfolio theory as appropriate standard;1999 saw fiduciaries winning investment prudence lawsuits.(Brief Article)
- Several cases addressed the issue of investment prudence in 1999, and fiduciaries won many of them. One of the most significant, overlooked by many, was the 5th U.S. Circuit Court of Appeals decision in Laborers National Pension Fund vs. Northern Trust Quantitative Advisors Inc....
- Research articles 2000-01-24
- Applying Portfolio Theory to EU Electricity Planning and Policy-Making
- This study presents an effort to apply one of the well-known elements of modern finance theory to the process of evaluating generating technologies and generating portfolios: Mean-Variance Portfolio Theory. The underlying motive for the study is a perception that there has been only limited understanding to date of how improved...
- White papers 2003-02-01
- Rydex Introduces Essential Portfolio Theory(SM), a Modern Approach to Investing
- Rydex Investments announced today the introduction of Essential Portfolio Theory EPT, an investment approach designed by Rydex to help investment advisors, brokers and investors understand the dynamic nature of modern markets and learn how to potentially increase portfolio diversification and manage risk. EPT advocates expanding traditional stock/bond/cash asset allocation menus...
- Research articles 2005-10-11
- Just Concentrate: Does Minding Fewer Stocks Add More Oomph to a Portfolio?
- For the past 20 years, students of stock-market investing have worshipped at the twin altars of modern-portfolio theory and efficient-market theory. The first holds that the more diversified a portfolio, the less the risk from each of its components. The latter posits that active money managers have no more stockpicking...
- White papers 2003-01-01
- Time Weighted Portfolio Optimization
- In estimating the inputs into the Modern Portfolio Theory MPT portfolio optimization problem, it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently, this approach is unlikely to perform well in any subsequent...
- White papers 2001-06-01
- Portfolio Diversification
- This article covers the highlights of modern portfolio theory, describing how risk and its effects are measured, and how planning and asset allocation can help you do something about it.
- White papers 2003-01-01
- When Does Direct Real Estate Improve Portfolio Performance?
- For over twenty years, researchers have been recommending that investors diversify their portfolios by adding direct real estate. Based on the tenets of modern portfolio theory MPT investors are told that the primary reason they should include direct real estate is that they will enjoy decreased volatility risk through increased...
- White papers 2003-10-20
- Eugene F. Fama; Robert R. McCormick Distinguished Service Professor of Finance, Graduate School of Business, University of Chicago.(P&I at 30: The difference-makers)
- Byline: Barry B. Burr Eugene F. Fama is a founder of modern portfolio theory, or as he prefers to call it, portfolio theory. For 40 years, he has been one of the great intellectuals of financial economics. In 1960,...
- Research articles 2003-10-27
- Harry M. Markowitz; Research professor, department of economics, University of California, San Diego.(P&I at 30: The difference-makers)
- Byline: Barry B. Burr Harry Markowitz shared the 1990 Nobel Memorial Prize in Economic Sciences for his work that originated in 1952 and laid the foundation of modern portfolio theory. That work eventually revolutionized investment decision-making Byline: Barry B. Burr ...
- Research articles 2003-10-27
- William F. Sharpe; STANCO 25 professor emeritus, Graduate School of Business, Stanford University, Palo Alto, Calif.(P&I at 30: The difference-makers)(Biography)
- Byline: Barry B. Burr Bill Sharpe, who shared the 1990 Nobel Memorial Prize in Economic Sciences, is one of the founders of modern portfolio theory and a seminal figure in financial economics. His pathbreaking work in creating beta, a measure of r Byline:...
- Research articles 2003-10-27
- William L. Fouse; Chairman emeritus, Mellon Capital Management Corp., San Francisco.(P&I at 30: The difference-makers)(Biography)
- Byline: Barry B. Burr Bill Fouse pioneered the index fund. He was a leading proponent of applying ideas of modern portfolio theory, including the efficient market hypothesis and quantitative methods, to investing. He created an index fund in ...
- Research articles 2003-10-27
- Asset Allocation For Psych Majors
- The bulk of research on financial and portfolio theory relies on the assumption that investment returns have statistical properties corresponding to some flavor of normal distribution. While this assumption leads to an extensive and impressive mathematical framework for managing money, even the leading purveyors of Modern Portfolio Theory admit its...
- White papers 2002-03-15
- Bear Markets Uncover Value
- Ockham Research submits: One of the key tenets of Modern Portfolio Theory [MPT] holds that diversification among asset classes is one of the most important ways for an investor to both moderate his risk and enhance his prospects for above average performance over time. Thus, over the years, investors...
- External links 2008-09-05
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