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The Multi-Index Model and Practical Portfolio Analysis Summary:By James L. Farrell
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. 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. Please select one mirror to download
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OLDER EBOOKSSponsored LinksThe Multi-Index Model and Practical Portfolio Analysis Keywordsmodel portfolio efficient analysis multi index relationships portfolios practical technique markowitz assess failure securities neglects inputs computer results important accounting input computational portfolio analysis markowitz model model established expected return accurately developed individual investments practical portfolio grouping individual multi index modelThe Multi-Index Model and Practical Portfolio Analysis download copyrightThis site does not store The Multi-Index Model and Practical Portfolio Analysis on its server. We only index and link to The Multi-Index Model and Practical Portfolio Analysis provided by other sites. Please contact the content providers to delete The Multi-Index Model and Practical Portfolio Analysis if any and email us, we'll remove relevant links or contents immediately. |
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