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Methods Of Portfolio Management - A Review Of Literature -

  • CRISTINA CURUTIU

    ()

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

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    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.

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    File URL: http://tbs.ubbcluj.ro/RePEc/bbn/journl/Negotia_2_2008.pdf
    File Function: Revised version, 2008
    Download Restriction: no

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

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

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    Handle: RePEc:bbn:journl:2008_2_10_curutiu
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    1. Shiqing Ling & Michael McAleer, 2001. "Asymptotic Theory for a Vector ARMA-GARCH Model," ISER Discussion Paper 0549, Institute of Social and Economic Research, Osaka University.
    2. Myers, Stewart C., 1984. "Capital structure puzzle," Working papers 1548-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. 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.
    4. Stewart C. Myers, 1984. "Capital Structure Puzzle," NBER Working Papers 1393, National Bureau of Economic Research, Inc.
    5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    6. Myers, Stewart C, 1984. " The Capital Structure Puzzle," Journal of Finance, American Finance Association, vol. 39(3), pages 575-92, July.
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