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ArticlePortfolio selection: An alternative approach

Abdulnasser Hatemi‐J2015

Article2015

Portfolio selection: An alternative approach

Abdulnasser Hatemi‐J · Youssef El‐Khatib

29 citations·0/0 files stored·Economics Letters

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1962Portfolio Selection: Efficient Diversification of Investments.1997International Asset Pricing and Portfolio Diversification with Time-Varying Risk 1985International Portfolio Diversification with Estimation Risk 1977The effect of limited information and estimation risk on optimal portfolio diversification

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Year2015

Typearticle

Published2015-08-29

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.econlet.2015.08.021

openalex_workW1189911448

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1984

Optimum portfolio diversification in a general continuous-time model