The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ...

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination ...

Portfolio diversification plays a key role in asset allocation, still, its benefits are often overestimated by the classic mean-variance model. Although most publications focus on the estimation error of returns, this ...

Investidores em geral buscam maximizar seus retornos ao mesmo tempo em que minimizam seus riscos. Porém, a escolha dos ativos e seus pesos dentro de uma carteira de investimentos para a obtenção dos objetivos citados, não ...

It is shown in this dissertation the applicability of Harry M. Markowitz´s Modern Theory, allied to Operation Research, in the diversification of actions in an investment portfolio, minimizing its total risk in a given ...

A discussão entre acadêmicos e alguns dos grandes protagonistas do mercado acionário mundial sobre a escolha do estilo adequado de seleção de investimentos continua inabalável. De um lado, a Teoria Moderna de Portfólio ...

This work has the objective to address the problem of asset allocation (portfolio analysis) under a Bayesian perspective. For this it was necessary to review all the theoretical analysis of the classical mean-variance model ...

This paper has two objectives: verify whether systematic risk is different across countries by comparing risk return ratio of market portfolios and equally weighted portfolios (1/N) to verify their efficiency and the levels ...

This work is about the main issues of active credit portfolio management in commercial banks, which are abandoning the more traditional approach of credit management in favor of this new one. First, the paper presents a ...

This paper investigated the properties of equity portfolios under mean-variance framework and built on statistically robust estimates of risk and return. The motivation for this approach is that financial data contains ...