Portfolio theory, 25 years after
Subtitle: essays in honor of Harry Markowitz
By: edited by E. J. Elton, M. J. Gruber.
Contributors: Markowitz, H. 1927-; Elton, Edwin J.; Gruber, Martin Jay, 1937-
Series: TIMS studies in the management sciences ; v. 11
Publisher: North-Holland Pub. Co.; sole distributors for the U.S.A. and Canada, Elsevier North-Holland; North-Holland Publishing Company; Brand: North-Holland Publishing Company
Published: 1979
Place of publication: Amsterdam; New York; New York
Language: eng
Number of pages: 256
Subjects: Investment analysis.
Notes: Includes biliographies.
Table of contents: title: Elton, E.J., Gruber, M.J. and Padberg, M.W. Simple criteria for optimal portfolio selection.; title: Rudd, A. and Rosenberg, B. Realistic portfolio optimization.; title: Bawa, V.S. and Chakrin, L.M. Optimal portfolio choice and equilibrium in a lognormal securities market.; title: Levy, H. Does diversification always pay?; title: Frankfurter, G. and Phillips, H. Measuring risk and expectation bias in well diversified portfolios.; title: Brenner, M. and Sarnat, M. The impact of inflation on portfolio selection.; title: Litzenberger, R. and Ramaswamy, K. On distributional restrictions for two fund separation.; title: Lindenberg, E. Capital market equilibrium with price affecting institutional investors.; title: Carleton, W.T.A note on the use of the CAPM for utility rate of return determination.; title: Roll, R. Testing a portfolio for ex ante mean/variance efficiency.; title: Cohen, K.J. et al. On the existence of serial correlation in an efficient securities market.; title: Hakansson, N.H.A characterization of optimal multi-period portfolio policies.; title: Sethi, S.P., Gordon, M.J. and Ingham, B. Optimal dynamic consumption and portfolio planning in a welfare state.; title: Brodt, A.A multi-period portfolio theory model for commercial bank management.; title: Richard, S.F.A generalized capital asset pricing model.; title: Stapleton, R.C. and Subrahmanyam, M.G. Multiperiod equilibrium.