A Model for Portfolio Selection with Order of Expected Returns
The core of the Markowitz Mean-Variance Model is to take the expected return of a portfolio as the investment return and the variance of the expected return of a portfolio as the investment risk. According to Markowitz (1952, 1959, 1987), for a given spec
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Springer-Verlag Berlin Heidelberg GmbH
Shouyang Wang . Yusen Xia
Portfolio Selection and Asset Pricing
Springer·
Authors Shouyang Wang Academy of Mathematics and Systems Sciences Chinese Academy of Sciences Beijing 100080, China XiaYusen McCombs School of Business University of Texas at Austin TX 78712Austin, USA
Cataloging-in-Publication data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Wang, Shouyang: Portfolio selection and asset pricing 1 Shouyang Wang ; Yusen Xia. - Berlin ; Heidelberg; New York; Barcelona; Hong Kong; London; Mailand; Paris; Tokyo : Springer, 2002 (Lecture notes in economics and mathematical systems; Voi. 514) ISBN 978-3-540-42915-9 ISBN 978-3-642-55934-1 (eBook) DOI 10.1007/978-3-642-55934-1
ISSN 0075-8442
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543210
Preface
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activiti
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