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2006 | OriginalPaper | Chapter

19. Mean variance portfolio allocation

Authors : Cheng Hsiao, Shin-Huei Wang

Published in: Encyclopedia of Finance

Publisher: Springer US

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Abstract

The basic rules of balancing the expected return on an investment against its contribution to portfolio risk are surveyed. The related concept of Capital Asset Pricing Model asserting that the expected return of an asset must be linearly related to the covariance of its return with the return of the market portfolio if the market is efficient and its statistical tests in terms of Arbitraging Price Theory are also surveyed. The intertemporal generalization and issues of estimation errors and portfolio choice are discussed as well.

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Metadata
Title
Mean variance portfolio allocation
Authors
Cheng Hsiao
Shin-Huei Wang
Copyright Year
2006
Publisher
Springer US
Book
Encyclopedia of Finance

Print ISBN: 978-0-387-26284-0

Electronic ISBN: 978-0-387-26336-6

Copyright Year: 2006

DOI
https://doi.org/10.1007/978-0-387-26336-6_45