IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v9y1974i03p463-472_01.html
   My bibliography  Save this article

Imputing Expected Security Returns from Portfolio Composition

Author

Listed:
  • Sharpe, William F.

Abstract

The normative procedures of Markowitz [4], Sharpe [6], and others can be utilized to determine an optimal portfolio (set of security holdings) given estimates of risk, relevant constraints, and expected returns on securities. Building on these foundations, the positive models of Sharpe [7], Lintner [3], Mossin [5], and others assume that investors form portfolios as if they were following such procedures. We observe considerable differences in portfolio composition, some of which undoubtedly stem from differences in expectations. Yet the predictions of most investors are either made implicitly or, if made explicitly, are jealously guarded and hence cannot be observed by outsiders.

Suggested Citation

  • Sharpe, William F., 1974. "Imputing Expected Security Returns from Portfolio Composition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 463-472, June.
  • Handle: RePEc:cup:jfinqa:v:9:y:1974:i:03:p:463-472_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S002210900001718X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J. Benson Durham, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports 665, Federal Reserve Bank of New York.
    2. Yan, Lei & Garcia, Philip, 2017. "Portfolio investment: Are commodities useful?," Journal of Commodity Markets, Elsevier, vol. 8(C), pages 43-55.
    3. Fuhrer, Adrian & Hock, Thorsten, 2023. "Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 251-275.
    4. Rudi Zagst & Michaela Pöschik, 2008. "Inverse portfolio optimisation under constraints," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 239-253, September.
    5. Gabriel A. Giménez Roche, 2016. "Entrepreneurial ignition of the business cycle: The corporate finance of malinvestment," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 29(3), pages 253-276, September.
    6. Elizabeth Watson, 2012. "Risk, return, and beyond: A conceptual analysis of some factors influencing New Zealanders’ investment decisions," Reserve Bank of New Zealand Analytical Notes series AN2012/07, Reserve Bank of New Zealand.
    7. Leon (Liang) Xin & Shanshan Ding, 2021. "Expected returns with leverage constraints and target returns," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 200-208, May.
    8. Krzysztof Echaust & Krzysztof Piasecki, 2016. "Black-Litterman model with intuitionistic fuzzy posterior return," Papers 1601.00354, arXiv.org.
    9. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
    10. Hazel Bateman & Susan Thorp, 2005. "Decentralised Portfolio Management: Analysis of Australian Accumulation Funds," Research Paper Series 161, Quantitative Finance Research Centre, University of Technology, Sydney.
    11. Heuts, R.M.J., 1977. "Capital market models for portfolio selection (A revised version)," Other publications TiSEM d8385669-c29b-4bf1-ba60-7, Tilburg University, School of Economics and Management.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:9:y:1974:i:03:p:463-472_01. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.