Advanced Search
MyIDEAS: Login

Methods Of Portfolio Management - A Review Of Literature -

Contents:

Author Info

  • CRISTINA CURUTIU

    ()
    (Faculty of Business, Babes-Bolyai University, Cluj-Napoca, Romania)

Registered author(s):

    Abstract

    In recent years, a growing body of literature in portfolio management has devoted a great deal of attention for this subject. The theoretical foundation to portfolio management was offered by Harry Markowitz at the beginning of the 1950s. The limitations of the original Markowitz model have stimulated the occurrence of extended or modified models – two of the best known (and criticized) being the equilibrium models: CAPM (capital asset pricing model) and APT (arbitrage pricing theory). Alternative optimization methods were also developed; among them must be mentioned: the utility function optimization, conditional value-at-risk optimization, multiple benchmark tracking, scenario-based optimization, robust statistical methods and the Bayesian methods. The present paper provides a selective overview of existing models and methods regarding portfolio management and optimization since 1952 (Markowits model) and synthesizes the academic research to date.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://tbs.ubbcluj.ro/RePEc/bbn/journl/Negotia_2_2008.pdf
    File Function: Revised version, 2008
    Download Restriction: no

    Bibliographic Info

    Article provided by Babes-Bolyai University, Faculty of Business in its journal JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA.

    Volume (Year): (2008)
    Issue (Month): ()
    Pages:

    as in new window
    Handle: RePEc:bbn:journl:2008_2_10_curutiu

    Contact details of provider:
    Postal: Str Horea nr. 7, Cluj-Napoca 400174
    Phone: 004 0264 599170
    Fax: 004 0264 590110
    Email:
    Web page: http://www.tbs.ubbcluj.ro/
    More information through EDIRC

    Related research

    Keywords: portfolio management; risk; portfolio models; volatility;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Heiko Ebens, 2000. "The Distribution of Stock Return Volatility," NBER Working Papers 7933, National Bureau of Economic Research, Inc.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April.
    4. Stewart C. Myers, 1984. "Capital Structure Puzzle," NBER Working Papers 1393, National Bureau of Economic Research, Inc.
    5. Myers, Stewart C, 1984. " The Capital Structure Puzzle," Journal of Finance, American Finance Association, vol. 39(3), pages 575-92, July.
    6. Myers, Stewart C., 1984. "Capital structure puzzle," Working papers 1548-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bbn:journl:2008_2_10_curutiu. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Cornelia Pop).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.