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Lectures on Numerical Methods in Bifurcation Problems
Methods for Finding Zeros in Polynomials
Lectures on Stochastic Flows and Applications
Educational Psychology by Edward L. Thorndike
The Last Days of Tolstoy by V. G. Chertkov
Globalization and Responsibility
Lectures on Siegel Modular Forms and Representation by Quadratic Forms
Lectures on Topics In One-Parameter Bifurcation Problems
History of the Incas by Pedro Sarmiento de Gamboa
Linear Algebra: Theorems and Applications
Lectures on Stochastic Differential Equations and Malliavin Calculus
A Short Biographical Dictionary of English Literature
Lectures on Sieve Methods and Prime Number Theory
Dollars and Sense by William Crosbie Hunter
The Theory of the Theatre by Clayton Hamilton
The Mathematics of Investment
Occupiers of Wall Street: Losers or Game Changers
The Solution of the Pyramid Problem
Lectures on Moduli of Curves
Walden by Henry David Thoreau
Methods for Finding Zeros in Polynomials
Lectures on Stochastic Flows and Applications
Educational Psychology by Edward L. Thorndike
The Last Days of Tolstoy by V. G. Chertkov
Globalization and Responsibility
Lectures on Siegel Modular Forms and Representation by Quadratic Forms
Lectures on Topics In One-Parameter Bifurcation Problems
History of the Incas by Pedro Sarmiento de Gamboa
Linear Algebra: Theorems and Applications
Lectures on Stochastic Differential Equations and Malliavin Calculus
A Short Biographical Dictionary of English Literature
Lectures on Sieve Methods and Prime Number Theory
Dollars and Sense by William Crosbie Hunter
The Theory of the Theatre by Clayton Hamilton
The Mathematics of Investment
Occupiers of Wall Street: Losers or Game Changers
The Solution of the Pyramid Problem
Lectures on Moduli of Curves
Walden by Henry David Thoreau
Useful Links
"The Multi-Index Model and Practical Portfolio Analysis" by James L. Farrell
Posted on 2010-04-13
|
More 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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