Portfolio Theory

Part of the Springer Texts in Statistics book series (STS)


How should we invest our wealth? Portfolio theory provides an answer to this question based upon two principles:
  • we want to maximize the expected return; and

  • we want to minimize the risk, which we define in this chapter to be the standard deviation of the return, though we may ultimately be concerned with the probabilities of large losses.


Covariance Shrinkage Expense Argentina Volatility 


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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.School of Operations Research and Information EngineeringCornell UniversityIthacaUSA

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