Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is...

This paper presents several new concepts for portfolio problems with independently distributed asset prices. A criterion is developed for including or excluding assets in an optimal portfolio for an investor maximizing the expected value of a von Neumann--Morgenstern utility function. The...

In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns are not elliptically distributed, this may cause inaccurate investment decisions. To address this issue, several alternative measures of risk have been proposed. In...

In his 1984 paper in Management Science, McEntire conjectured that all concave utility functions satisfy his independence-from-irrelevant-assets (IIA) property. This paper shows that this conjecture is false. The paper provides several families of utility functions, all of whose members violate...

Forecasting the mean returns vector and the covariance matrix is a key feature in implementing portfolio theory. The performance of the Bayes-Stein method for forecasting these parameters for use in the Markowitz model (with and without short sales) was compared with that of seven other...

This study uses factor analysis to simplify the complex relationships among stock markets and to reduce the number of markets required for portfolio construction. Our sample consists of the US and 11 Asia-Pacific stock markets. We find that the reduced portfolio obtained from factor analysis has...

W artykule przeanalizowano rozwiazanie problemu optymalnej selekcji portfela papierow wartosciowych, przedstawiajac go jako zagadnienie nieliniowego, rozmytego, dwukryterialnego programowania. W tym celu opracowano specjalny algorytm numeryczny. Pokazano, ze tak sformulowany problem dostarcza...