Abstract
Modern Portfolio Theory (MPT) grew out of the mathematical problem of how to construct an efficient portfolio from a chosen set of stocks, given their risks and expected returns, and subject to various practical constraints. Constructing such a portfolio is a purely mathematical process: it is done after the fund manager has made his judgments, and its purpose is to ensure that these judgments are reflected as accurately as possible in the portfolio. Such optimisation is one of the most widespread applications of MPT.
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References
Jensen, M.C ‘The performance of Mutual Funds in the period 1945–1964’, Journal of Finance, Vol. XXIII, May 1968.
Fisher, L. ‘Using MPT to maintain an efficiently diversified portfolio’, Financial Analysts Journal, May/June 1975.
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© 1983 Desmond Corner and David G. Mayes
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MacQueen, J. (1983). Two Applications of Modern Portfolio Theory to Portfolio Risk Analysis. In: Corner, D., Mayes, D.G. (eds) Modern Portfolio Theory and Financial Institutions. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-05843-3_2
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DOI: https://doi.org/10.1007/978-1-349-05843-3_2
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-05845-7
Online ISBN: 978-1-349-05843-3
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