Mean-variance efficient portfolio


Financial and business terms. 2012.

Look at other dictionaries:

  • Markowitz efficient portfolio — Also called a mean variance efficient portfolio, a portfolio that has the highest expected return at a given level of risk. The New York Times Financial Glossary Also called a mean variance efficient portfolio, a portfolio that has the highest… …   Financial and business terms

  • Modern portfolio theory — Portfolio analysis redirects here. For theorems about the mean variance efficient frontier, see Mutual fund separation theorem. For non mean variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) …   Wikipedia

  • Market portfolio — is a portfolio consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible.[1] Richard Roll s critique… …   Wikipedia

  • Markowitz Efficient Set — A set of portfolios with returns that are maximized for a given level of risk based on mean variance portfolio construction. The efficient solution set to a given set of mean variance parameters (a given riskless asset and a given risky basket of …   Investment dictionary

  • Mutual fund separation theorem — In portfolio theory, a mutual fund separation theorem, mutual fund theorem, or separation theorem is a theorem stating that, under certain conditions, any investor s optimal portfolio can be constructed by holding each of certain mutual funds in… …   Wikipedia

  • Roll's critique — is a famous analysis of the validity of the Capital Asset Pricing Model (CAPM). It concerns methods to formally test the statement of the CAPM, the equationE(R i) = R f + eta {im}(E(R m) R f).,This equation relates the asset expected return E(R… …   Wikipedia

  • Эффективный портфель Марковица — портфель с самой высокой ожидаемой доходностью для данного уровня риска. По английски: Markowitz efficient portfolio Синонимы: Эффективный портфель со средним отклонением, Портфель со средней эффективностью Синонимы английские: Mean variance… …   Финансовый словарь

  • Hyperbola — This article is about a geometrical curve, a conic section. For the term used in rhetoric, see Hyperbole …   Wikipedia

  • Ellipse — Elliptical redirects here. For the exercise machine, see Elliptical trainer. This article is about the geometric figure. For other uses, see Ellipse (disambiguation). Not to be confused with ellipsis. An ellipse obtained as the intersection of a… …   Wikipedia

  • Harry Markowitz — Infobox Scientist name = Harry Markowitz image size = 180px birth date = Birth date and age|1927|8|24|mf=y birth place = Chicago, Illinois, U.S. nationality = United States field = Finance work institution = Rady School of Management alma mater …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”

We are using cookies for the best presentation of our site. Continuing to use this site, you agree with this.