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Portfolio Selection

Опубликовано на портале: 17-09-2004
Journal of Finance. 1952.  Vol. 7. No. 1. P. 77-91. 
Тематический раздел:
The process of selecting a portfolio may be divided into two stages. The first stage with observation and experience and ends with beliefs about the future performance of available securities. The second stage starts with the relevant beliefs about future performances and ends with the choice of portfolio. This paper is concerned with the rule that the investor does (or should) maximize discounted expected, or anticipated, returns. This rule is rejected both as a hypothesis to explain, and as a maximum to guide investment behavior. We next consider the rule that the investor does (or should) consider expected return a desirable thing and variance of return an undesirable thing. This rule has many sound points, both as a maxim for, and hypothesis about, investment behavior. We illustrate geometrically relations between beliefs and choice of portfolio according to the "expected returns - variance of returns" rule.

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См. также:
Meir Statman
Journal of Financial and Quantitative Analysis. 1987.  Vol. 22. No. 3. P. 353-363. 
Michael C. Jensen, William H. Meckling
Journal of Financial Economics. 1976.  Vol. 3. No. 4. P. 305-360. 
James H. Lorie, Leonard J. Savage
Journal of Business. 1955.  Vol. 28. No. 4. P. 229-239.