Modern portfolio theory: Part 1

被引：3

作者：

Northern Arizona University, P.O. Box 15600, Flagstaff, AZ 86011, United States ^{[1
]}

机构：

[1] Northern Arizona University, Flagstaff, AZ 86011

来源：

IEEE Microwave Mag. | 2006年 / 5卷 / 22-27期

关键词：

Strategic planning;

D O I：

10.1109/MW-M.2006.247902

中图分类号：

学科分类号：

摘要：

The features and applications of modern portfolio theory (MPT) are discussed. MPT determines the benefits of diversification and provide a mathematical framework for constructing optimized portfolios. MPT enables investors who construct diversified portfolios, to achieve improved tradeoffs between risk and reward. It uses parameters of the lognormal model of price behavior such as expected return (μ) and volatility (σ) to characterize the reward and risk of a single security to assess tradeoff between risk and reward. It calculates the expected return and volatility of a portfolio containing a relative weighting w i of each asset. The expected return of the portfolio is a simple weighted average of the expected returns of the individual components. The straight line that passes through the risk-free return and the optimum portfolio enable private investors to make decision regarding borrowing at the risk-free rate.

引用

页码：22 / 27

页数：5