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Inter-Temporal Portfolio Analysis Based on Simulation of Joint Returns

Author

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  • Kalman J. Cohen

    (Carnegie Institute of Technology)

  • Edwin J. Elton

    (New York University)

Abstract

An inter-temporal quadratic programming model for selecting portfolios of risky assets is formulated. The model's application to capital budgeting is discussed in considerable detail. This is followed by briefer discussions of its application in other areas. The paper develops a new and more efficient way of using simulation to calculate the variance-covariance elements required as input to Markowitz-type models; this new procedure makes no further demands on the decision maker than do other simulation models that have been suggested. The paper also shows how such models can be made inter-temporal. Finally, the paper analyzes the potentials for extending such models to include other theoretical considerations that have been proposed in the literature.

Suggested Citation

  • Kalman J. Cohen & Edwin J. Elton, 1967. "Inter-Temporal Portfolio Analysis Based on Simulation of Joint Returns," Management Science, INFORMS, vol. 14(1), pages 5-18, September.
    • Handle: RePEc:inm:ormnsc:v:14:y:1967:i:1:p:5-18
    DOI: 10.1287/mnsc.14.1.5
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    Cited by:

    1. Rae, Allan N., 1970. "Capital Budgeting, Intertemporal Programming Models, With Particular Reference To Agriculture," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 14(1), pages 1-14, June.
    2. Schmidt, Reinhart, 1984. "Analyse der Länderverschuldung aus der Sicht der international tätigen Bank," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 153, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.

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