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The Derivation of Efficient Sets

Published online by Cambridge University Press:  19 October 2009

Gordon J. Alexander
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Extract

In 1952, Harry M. Markowitz [6] described a theory on the selection of assets in forming a portfolio. Assuming asset returns are stochastic, his theory postulated that rational investors should select a portfolio from the set of all portfolios which offered minimum risk (measured by variance) for varying levels of expected return. This set was named the efficient set by Markowitz.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 11 , Issue 5 , December 1976 , pp. 817 - 830
Copyright
Copyright © School of Business Administration, University of Washington 1976

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References

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