Developments in Mean-Variance Efficient Portfolio Selection - download pdf or read online

Risk Management

By M. Agarwal

This ebook discusses new determinants for optimum portfolio choice. It reports the prevailing modelling framework and creates mean-variance effective portfolios from the securities businesses at the nationwide inventory trade. Comparisons allow researchers to rank them by way of their effectiveness at present Indian securities industry.

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2. The model formulations are for a single period and do not incorporate the continuous changes in the environment and its effect on portfolio selection. 3. The quadratic programming portfolio selection analysis is based on ex-post data which may not be truly representative of the future scenario. 4. Certain constraints originally included in the theoretical model were excluded in the empirical analysis due to unavailability of data and programming limitations. 5. Minute by minute real time data incorporating immediate changes may substantially improve the reliability of results.

Robustness tests indicate the concentration results are not driven by industry specialisation, inside information, repeated trades, market timing or regional differences among investors. Indian mutual fund industry also experiences a similar phenomenon with highly diversified units not being able to perform well. Calvet et al. 8 million households in Sweden between 1999 and 2002. Decomposition of risky portion of portfolio into passive and active rebalancing, rebalancing regressions by ordinary least squares to capture the dependence of active change on initial risky share and robustness checks are undertaken.

Utility was defined in terms of minimisation of a chance of a catastrophe. Markowitz used statistical analysis and Roy used econometric analysis for the purpose of their studies. Tobin (1958) provided the basis for two fund separation theorem in the context of portfolio selection whereby an investor allocates his resources among risky and riskless assets. The theory propounded by Tobin was based on the risk avoiding behaviour of investors and was conceptually shown to be superior to the Keynesian theory of liquidity preference.

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