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Economics/Finances 12 Month Loans
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Economics/Finances Joel Blau - Illusions of Prosperity: America's Working Families in an Age of Economic Insecurity
Economics/Finances Kent Eaton - Politicians and Economic Reform in New Democracies: Argentina and the Philippines in the 1990s
Economics/Finances Transition, Regional Development And Globalization: China and Central Europe
Economics/Finances Macroeconomics: Principles and Applications, Reprint
Economics/Finances Petrochemical Economics: Technology Selection in a Carbon Constrained World
Economics/Finances Kaplan Schweser CFA 2010 Level 01 eBooks Videos 16CDs [Reup]
Economics/Finances Managing Financial Resources, 3rd edition
Economics/Finances Malcolm MacLachlan, Leslie Swartz - Disability & International Development: Towards Inclusive Global Health
Economics/Finances Economics in Russia
Economics/Finances The Innovation Playbook, web site: A Revolution in Business Excellence
Economics/Finances Организация деятельности центрального банка
Economics/Finances Курс экономической теории
Economics/Finances The Alpha Hunter: Profiting from Option LEAPS (Repost)
Economics/Finances Maladie, invalidité et travail : Surmonter les obstacles : Synthèse des résultats dans les pays de l'OCDE
Economics/Finances Tools for homesteaders, gardeners, and small-scale farmers: A catalog of hard-to-find implements and equipment
Economics/Finances Andrew Crane, "Corporations and Citizenship (Business, Value Creation, and Society)"
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Economics/Finances "The Multi-Index Model and Practical Portfolio Analysis" by James L. Farrell
Posted on 2010-03-16
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More "The Multi-Index Model and Practical Portfolio Analysis" by James L. Farrell Modern portfolio analysis is concerned with grouping individual investments into an efficient set of portfolios. A portfolio is defined as efficient if (and only if) it offers a higher overall expected return than any other portfolio with comparable risk. Three analytical methods for developing efficient sets of portfolios are: 1) Markowitz model; 2) Sharpe single-index model; 3) Cohen and Pogue's multi-index model. • | • The Markowitz model established the basic framework for modern portfolio analysis and provides the most accurately developed set of efficient portfolios. The size and complexity of the model, however, makes it virtually inapplicable for practical use. The Sharpe model economizes on inputs and computer time but neglects important relationships among securities. Failure to assess these relationships results in a set of portfolios that is less than truly efficient. Cohen and Pogue's multi-index model provides a means of accounting for these relationships while at the same time achieving substantial input and computational savings over the Markowitz technique. The multi-index model should thus be the preferred technique for practical portfolio analysis.
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