A "blowup factor" is defined for the measurement of the effect on forecast error variance of two types of misspecification which may be implicit in the choice of a particular adaptive forecasting scheme: (1) misspecification of the number of non-zero parameters of the stationary linear...

The purpose of this paper is to prove certain properties of the present and future values of a sequence of cash flows which have applications in the theory of capital budgeting. This is done in Theorems III, IV and V. As an introduction, certain previously available results about the present...

The paper shows the development of the after-tax earnings from interest as a function of the proportion of money invested in each type of security and certain other parameters such as the interest yields and the tax rate. This function is then differentiated and the optimum point determined. A...

The objective of this paper is to investigate the decision-making procedure for accepting or rejecting investment or financing alternatives available to the firm. The properties of the decision rules based on discounted present value and internal rate of return are studied for the class of...

This paper illustrates how individual forecasts and forecasting techniques may be evaluated by the use of established decision theory. Given the probability distribution of the forecast error, we first find the optimal strategy for a decision process, i.e., how to make the most efficient use of...

The definition of the cost of resources devoted to inventories which is inherent in the economic-lot-size procedure implies financial conditions which may not exist. This would lead to infeasibility and/or to a misstatement of carrying costs. If carrying costs are incorrectly stated, then in...

The characteristic line of a security or portfolio relates its rate of return to that of a "market portfolio." Several investigators have suggested the desirability of obtaining such a line by minimizing the sum of the absolute deviations rather than the sum of the squared deviations around the...

This paper describes the advantages of using a particular model of the relationships among securities for practical applications of the Markowitz portfolio analysis technique. A computer program has been developed to take full advantage of the model: 2,000 securities can be analyzed at an...

The portfolio selection problem faced by a mutual fund manager can be formulated following the Markowitz approach: find those portfolios that are efficient in terms of predicted expected return and standard deviation of return, subject to legal constraints in the form of upper bounds on the...

Author's comment about routines for quadratic programming given in his article "A Simplified Model for Portfolio Analysis," (Management Science, January 1963, pp. 277-293).