IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v11y1976i05p817-830_02.html
   My bibliography  Save this article

The Derivation of Efficient Sets

Author

Listed:
  • Alexander, Gordon J.

Abstract

In 1952, Harry M. Markowitz [6] described a theory on the selection of assets in forming a portfolio. Assuming asset returns are stochastic, his theory postulated that rational investors should select a portfolio from the set of all portfolios which offered minimum risk (measured by variance) for varying levels of expected return. This set was named the efficient set by Markowitz.

Suggested Citation

  • Alexander, Gordon J., 1976. "The Derivation of Efficient Sets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(5), pages 817-830, December.
    • Handle: RePEc:cup:jfinqa:v:11:y:1976:i:05:p:817-830_02
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000021189/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. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.

    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:11:y:1976:i:05:p:817-830_02. 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.