A current vision of modern theory of portfolio
DOI:
https://doi.org/10.33304/revinv.v05n1-2015003Keywords:
Diversification, Efficient border, Proftability, Risk, Optimum portfolioAbstract
The theory of Portfolio Selection was established by Harry Markowitz in the writing of his doctoral dissertation in statistiics in 1952. This innovative approach laid the foundations of Modern Portfolio Theory, and is based on the assumption that investors seek maximum expected return for a given level of risk, and minimal risk for a given level of expected return. This article will present a current view of the Modern Portfolio Theory, through a literature riview that will build a framework, wich will provide some important definitions for the undertanding of an investment optimum portfolio.Downloads
References
Bellalah, M., Fadhlaoui, K., & Lahioani, A. (2011). The Contribution of Emerging Markets to International Diversification. Bankers, Markets & Investors 110, 31-50.
Brealey, R. A., Myers, S.C., & Allen, F., (2010) Principios de finanzas corporativas. Novena Edición. McGraw-Hill. México.
Dubova, I. (2005). La validación y aplicabilidad de la teoría de portafolio en el caso colombiano. Cuadernos de Administración, Pontificia Universidad Javeriana, 18 (30), 241-279, Colombia.
Fabozzi, F., Gupta, F., & Markowitz, H. (2002, Fall). The legacy of modern portfolio theory. Journal of Investing, 7-22.
Frantz, P., & Payne, R. (2011). Corporate finance. Chapter 2. London: University of London Press.
Geambasu, C., Sova, R., Jianu, I., & Geambasu, L. (2013). Risk Measurement in post-modern portfolio theory. Economic Computation and Economic Cybernetics Studies and Research, 1, 113-132.
Gitman, L. J., & Joehnk, M., (2009). Fundamentos de inversiones. 10a Edición. Pearson.
Gómez R., O. A., & García F., A. M. (2014). Modelo para construir un portafolio que se adapte a un perfil de riesgo de una inversionista común en el mercado colombiano. Universidad EAFIT, Medellín.
Gorodn J. A., Sharpe, W.F., & Bailey J.V. (2003). Fundamentos de Inversiones. Teoría y Práctica. Tercera Edición. Prentice Hall.
Lessard, D. R. (1973). International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries. The Journal of Finance, 28(3), 619-633.
López, C. (S.F.). Mercado de Capitales y Gestión de Cartera, Universidad Argentina de la Empresa (UADE). Consultor financiero. Recuperado de: http:/marcelodelfino.net/files/Teora_de_la_Cartera.pdf.
Markowitz, H. (1952). Portfolio Selecton. The Journal of Finance, Vol. 7, 77-91.
Mendizábal Zubeldía, A., Miera Zabalza, L. M., & Zubia Zubiaurre, M. (2002). EL modelo de Markowitz en la gestión de carteras.
Michaud, R.O. (1989): The Markowitz optimization enigma: Is 'optimized' optimal?. Financial Analyst Journal, 45, 31-42.
Mossin, J. (1966). Equilibrium in capital asset market. Econométrica, 34, 768-783.
Tobin, J. (1958). Liquidity preference as behavior toward risk. Reviwe of Economic Studies, 65-85.
Quinn, D. P.,& Voth, H. J. (2008). Acentury of global equity market correlations. American Economic Review 98(2), 535-540.
Ramírez-Córdoba, G. L., & Fernández-Echeverri, C. P. (2008). Estructuración de portafolios de acciones en el mercado de valores de Hong Kong. Revista Souciones de Postgrado EIA, Número2., 39-55.
Ross, S., Westerfield, R. & Jaffe, J. (2012). Finanzas corporativas. Novena Edición. McGraw-Hill. México.
Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal od Finance, 19,425-442.
Solnik, B. H. (1995). Why not diversify internationally rather than domestically?. Financial analysts journal, 89-94
