Revisiting modern portfolio theory

dc.contributorEscolas::EESP
dc.creatorTenani, Paulo Sérgio
dc.date.accessioned2016-05-31T12:45:10Z
dc.date.accessioned2022-11-03T20:26:28Z
dc.date.available2016-05-31T12:45:10Z
dc.date.available2022-11-03T20:26:28Z
dc.date.created2016-05-31T12:45:10Z
dc.date.issued2016-05-30
dc.identifierTD 419
dc.identifierhttp://hdl.handle.net/10438/16556
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5038443
dc.description.abstractThis 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 of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character
dc.languageeng
dc.relationEESP - Textos para Discussão;TD 419
dc.subjectModern portfolio theory
dc.subjectSeparation theorem
dc.subjectStrategic allocation
dc.subjectTactical allocation
dc.subjectLeverage
dc.subjectEfficient frontier
dc.titleRevisiting modern portfolio theory
dc.typeWorking Paper


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