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Behavioral Portfolios: Hope for Riches and Protection from Poverty

Meir Statman

in Pension Design and Structure: New Lessons from Behavioral Finance

Published in print:
2004
Published Online:
January 2005
ISBN:
9780199273393
eISBN:
9780191601675
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199273391.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter argues that the behavioural portfolio theory offers a good description of investor behaviour and a basis for good policy prescriptions. The theory states that investors view with ... More


Portfolio Theory and Management: An Overview

H. Kent Baker and Greg Filbeck

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0001
Subject:
Economics and Finance, Financial Economics

This chapter provides an overview of portfolio theory and management. It discusses the three major steps in the portfolio management process—planning, execution, and feedback—and the key tasks ... More


Portfolio Theory and Management

H. Kent Baker and Greg Filbeck (eds)

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.001.0001
Subject:
Economics and Finance, Financial Economics

The world of portfolio management has expanded greatly over the past three decades, and along with it, so have the theoretical tools necessary to appropriately service the needs of both private ... More


Modern Portfolio Theory

Eric Jacquier

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0002
Subject:
Economics and Finance, Financial Economics

This chapter surveys modern portfolio theory, which is one of the most spectacular developments of finance in the last 50 years. It starts with the basic one-period setup under the assumption of ... More


Preference Models in Portfolio Construction and Evaluation

Massimo Guidolin

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter reviews the role of preference- (utility-) based asset allocation models in normative portfolio theory. After presenting relevant definitions and tools from the theory of decisions under ... More


Portfolio Pricing Methods

Patrick L. Anderson

in The Economics of Business Valuation: Towards a Value Functional Approach

Published in print:
2013
Published Online:
September 2013
ISBN:
9780804758307
eISBN:
9780804783224
Item type:
chapter
Publisher:
Stanford University Press
DOI:
10.11126/stanford/9780804758307.003.0011
Subject:
Economics and Finance, Financial Economics

The idea of business investments assembled as part of an investment portfolio is a powerful one with ramifications that extend to the pricing of individual investments. The author describes the ... More


Private Equity Portfolio Management: Challenges, Approaches, and Implementation

Thomas Meyer and Tom Weidig

in Private Equity: Opportunities and Risks

Published in print:
2015
Published Online:
August 2015
ISBN:
9780199375875
eISBN:
9780199375899
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199375875.003.0011
Subject:
Economics and Finance, Financial Economics

Private equity (PE) does not fit easily into the standard risk-return Markowitz portfolio optimization framework used in the investment portfolios of institutional and other investors. The concepts ... More


Traditional Asset Allocation Securities: Stocks, Bonds, Real Estate, and Cash

Christopher Milliken, Ehsan Nikbakht, and Andrew Spieler

in Financial Behavior: Players, Services, Products, and Markets

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190269999
eISBN:
9780190270025
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190269999.003.0020
Subject:
Economics and Finance, Financial Economics

Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions ... More


William F. Sharpe

Roger W. Spencer and David A. Macpherson

in Lives of the Laureates: Twenty-three Nobel Economists

Published in print:
2014
Published Online:
May 2015
ISBN:
9780262027960
eISBN:
9780262325868
Item type:
chapter
Publisher:
The MIT Press
DOI:
10.7551/mitpress/9780262027960.003.0010
Subject:
Economics and Finance, Economic History

This chapter considers the career of William F. Sharpe who received the Nobel Prize in 1990. Sharpe was born in 1934 and received his B.A., M.A., and Ph.D. all from the University of California. He ... More


Arbitrage Theory in Continuous Time

Tomas Björk

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.001.0001
Subject:
Economics and Finance, Econometrics

The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic ... More


Insurance and Risk Management

James M. Moten and C. W. Copeland

in Financial Behavior: Players, Services, Products, and Markets

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190269999
eISBN:
9780190270025
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190269999.003.0017
Subject:
Economics and Finance, Financial Economics

According to modern portfolio theory (MPT), rational market participants make most decisions and seek to be compensated for additional risk. However, investors sometimes behave irrationally owing to ... More


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