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Modern Portfolio Theory: Some Main Results

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  • Müller, Heinz H.

Abstract

This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

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  • Müller, Heinz H., 1988. "Modern Portfolio Theory: Some Main Results," ASTIN Bulletin, Cambridge University Press, vol. 18(2), pages 127-145, November.
    • Handle: RePEc:cup:astinb:v:18:y:1988:i:02:p:127-145_00
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    Cited by:

    1. Trindade, Marco A.S. & Floquet, Sergio & Filho, Lourival M. Silva, 2020. "Portfolio theory, information theory and Tsallis statistics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    2. José Antonio Blanco & Heinz H. Müller, 1988. "Put-Optionen als Instrumente der Portfolioinsurance: Investitionsstrategien für institutionelle Anleger?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 124(III), pages 391-404, September.

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