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Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models

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Listed author(s):
  • Eduardo Ariel Corso

    ()

    (BCRA – UBA)

Abstract

This paper describes the main cross fertilizations between monetary theory and portfolio theory, which characterized the origins and evolution of the latter. In addition, we explore the critics and controversies arising from the seminal works of Markowitz and Tobin, as well as the new generation of optimal portfolio models that emerged from these discussions.

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File URL: http://www.bcra.gov.ar/pdfs/investigaciones/68_Corso.pdf
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Article provided by Central Bank of Argentina, Economic Research Department in its journal Ensayos Económicos.

Volume (Year): 1 (2013)
Issue (Month): 68 (June)
Pages: 43-74

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Handle: RePEc:bcr:ensayo:v:1:y:2013:i:68:p:43-74
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Keywords: Harry Markowitz; higher-order moments approach to portfolio selection; James Tobin; liquidity preference; mean-variance approach; money demand; monetary theory; portfolio theory;

Find related papers by JEL classification:

  • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
  • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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  2. Benjamin M. Friedman & V. Vance Roley, 1979. "A Note on the Derivation of Linear Homogeneous Asset Demand Functions," NBER Working Papers 0345, National Bureau of Economic Research, Inc.
  3. Loistl, Otto, 1976. "The Erroneous Approximation of Expected Utility by Means of a Taylor's Series Expansion: Analytic and Computational Results," American Economic Review, American Economic Association, vol. 66(5), pages 904-910, December.
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  7. Samuelson, Paul A., 1967. "General Proof that Diversification Pays," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(01), pages 1-13, March.
  8. William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
  9. Fischer, Stanley, 1979. "Anticipations and the Nonneutrality of Money," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 225-252, April.
  10. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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  12. Bertrand Maillet & Emmanuel Jurczenko, 2006. "Multi-moment Asset Allocation and Pricing Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308990, HAL.
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  15. Tobin, James, 1970. "Deposit Interest Ceilings as a Monetary Control," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 2(1), pages 4-14, February.
  16. Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller, 2010. "Portfolio selection with higher moments," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 469-485.
  17. Borch, Karl, 1974. "The Rationale of the Mean-Standard Deviation Analysis: Comment," American Economic Review, American Economic Association, vol. 64(3), pages 428-430, June.
  18. Courakis, Anthony S, 1989. "Does Constant Relative Risk Aversion Imply Asset Demands That Are Linear in Expected Returns?," Oxford Economic Papers, Oxford University Press, vol. 41(3), pages 553-566, July.
  19. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
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  22. Drazen, Allan, 1981. "Inflation and capital accumulation under a finite horizon," Journal of Monetary Economics, Elsevier, vol. 8(2), pages 247-260.
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